OTC Derivatives, Counterparty Risk and xVA
Short course
In Dubai (United Arab Emirates)
*Indicative price
Original amount in USD:
$ 3,890
Description
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Type
Short course
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Location
Dubai (United Arab Emirates)
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Duration
2 Days
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Start date
Different dates available
This course explains and describes the counterparty credit risk in OTC derivatives and other valuation adjustments in relation to collateral, funding and capital components. The ideas are built up sequentially and workshops are used to develop the key ideas including credit limits and the simulation of exposure, the impact of risk mitigants and calculation of CVA, DVA, FVA, ColVA, KVA and MVA.
Particular attention is paid to current market practice and the future impact of regulatory changes such as Basel III, mandatory clearing and bilateral margining mandates.
Participants will be able to take away all worked examples and additional exercises and models implemented using Excel functions and macros.
Facilities
Location
Start date
Start date
About this course
Credit traders, Derivatives traders and marketers
Risk managers and credit risk practitioners
Structurers
IT, Middle office
Senior management, Quantitative researchers
Product control, Portfolio managers
Operations / Collateral management
Numerate background (basic)
Knowledge of derivatives products
Basic knowledge of Microsoft Excel
Reviews
This centre's achievements
All courses are up to date
The average rating is higher than 3.7
More than 50 reviews in the last 12 months
This centre has featured on Emagister for 16 years
Subjects
- Credit
- Risk
- IT risk
- Derivatives
- Market
- Simulation
- Probability
- OTC Derivatives
- XVA
- DVA
- CVA
- PFE
- Risk manager
- Middle office
- Microsoft Excel
- Loan equivalents
- KVA
Teachers and trainers (1)
Jon Gregory
Teacher
Dr Jon Gregory has over 15 years' experience as a practitioner in quantitative finance and is a partner at the capital markets consultancy Solum Financial Partners. Formerly he was global head of credit analytics at Barclays Capital and responsible for a team of around 30 researchers globally. Jon holds a PhD from Cambridge University and is author of the books “The xVA Challenge” (now in its third edition) and “Central Counterparties: The Impact of Mandatory Clearing and Bilateral Margin Requirements on OTC Derivatives”, both published by Wiley Finance.
Course programme
Background
- History of derivatives
- OTC derivatives
- Contractual terms (ISDAs etc)
- Close out and netting
- Collateral agreements (CSAs)
- Central clearing mandate and bilateral margin rules
- Definition
- PFE and credit limits
- Simulation approach for PFE
- Loan equivalents
- Impact of netting
Default probability
- Historical default experience
- Recovery rates
- Credit default swaps
- Market implied default probability calibration
CVA
- Loan pricing formula
- Why CVA is more complex
- CVA formula and examples
- DVA
Day Two
CVA, DVA and FVA
- Review of CVA and DVA
- The problems with DVA
- The source of funding costs
- FVA
- CVA/DVA/FVA framework
Collateral
- Credit support annex
- Collateral terms
- Collateral calculation
- Impact of collateral on CVA
- OIS discounting
- ColVA
Regulatory capital and KVA
- Counterparty risk capital requirements
- Review of methodologies
- The CVA capital charge
- Capital value adjustment (KVA)
MVA
- Central clearing
- Bilateral margin rules
- Initial margin methodologies
- Margin value adjustment (MVA)
OTC Derivatives, Counterparty Risk and xVA
*Indicative price
Original amount in USD:
$ 3,890