Credit value adjustment computation

Due to unforeseen circumstances, we have had to cancel this course.

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Learning outcomes:

  • The rationale behind using Credit Value Adjustment (CVA) to price counterparty
  • What are the implications of the new capital rules on CVA calculations
  • The techniques used to hedge CVA and DVA
  • How to price and manage wrong way risk exposures
  • The impact of collateral and other risk mitigants on CVA calculation
  • How to capture products within a counterparty risk system

Course dates & venues

LONDON 13 July 2010

Cancelled

Cancelled

Course tutors

LONDON

Wolfgang Putschoegl
Quantitative Analyst, UNICREDIT BANK AUSTRIA

Paul Lawton
Credit Adjustment Risk Manager, BNP PARIBA

Robert McWillam
Counterparty Risk Consultant

Danny Peeters
Head of Collateral Management, FORTIS INVESTMENTS

Paul Anderson
Head of Counterparty Credit Trading, DEUTSCHE BANK

Course highlights:

  • Assessing credit value adjustment (CVA) on a real-time basis
  • Exploring (CVA) measurement approaches: unilateral and bilateral
  • The role of the CVA in the new regulatory framework
  • Hedging CVA & DVA (debt value adjustment)
  • Building an integrated CVA-wrong way risk solution
  • Handling collateral more effectively in CVA calculations