OTC Derivatives, Counterparty Risk and xVA

London Financial Studies

Short course

In Dubai (United Arab Emirates)

£ 3,126.46 VAT exempt

*Indicative price

Original amount in USD:

$ 3,890

The best Financial Derivatives courses

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Description

  • Type

    Short course

  • Location

    Dubai (United Arab Emirates)

  • Duration

    2 Days

  • 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

Dubai (United Arab Emirates)
See map

Start date

Different dates availableEnrolment now open

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

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Reviews

This centre's achievements

2016

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

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

Day One

Background
  • History of derivatives
  • OTC derivatives
  • Contractual terms (ISDAs etc)
  • Close out and netting
  • Collateral agreements (CSAs)
  • Central clearing mandate and bilateral margin rules
Credit exposure
  • Definition
  • PFE and credit limits
  • Simulation approach for PFE
  • Loan equivalents
  • Impact of netting
Example: IRS exposure simulation

Default probability
  • Historical default experience
  • Recovery rates
  • Credit default swaps
  • Market implied default probability calibration
Example: Market implied default probability calculation

CVA
  • Loan pricing formula
  • Why CVA is more complex
  • CVA formula and examples
  • DVA
Example: CVA and DVA calculations

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
Example: CVA/DVA/FVA calculation

Collateral
  • Credit support annex
  • Collateral terms
  • Collateral calculation
  • Impact of collateral on CVA
  • OIS discounting
  • ColVA
Example: ColVA calculation

Regulatory capital and KVA
  • Counterparty risk capital requirements
  • Review of methodologies
  • The CVA capital charge
  • Capital value adjustment (KVA)
Example: EAD and KVA calculations

MVA
  • Central clearing
  • Bilateral margin rules
  • Initial margin methodologies
  • Margin value adjustment (MVA)
Example: Complete xVA calculations

See related categories

OTC Derivatives, Counterparty Risk and xVA

£ 3,126.46 VAT exempt

*Indicative price

Original amount in USD:

$ 3,890

The best Financial Derivatives courses

See all

See all