June 23-24
■Full explanation of quantifying credit value adjustment (CVA)
■Learn about netting together with incremental and marginal CVA
■Gain insight on implementation of counterparty risk systems
■Get the latest ideas on bilateral counterparty risk (DVA)
■Hear about the latest ideas and thinking on central clearing
Counterparty Credit risk has become the key financial risk for banks and other financial institutions to understand, quantify and manage over the past few years. Indeed, during the recent crisis the share price performance of the companies with the longest history in CVA trading was substantially better than their peers. Counterparty Credit continues to be poorly understood. This intensive and practical course covers all key aspects of counterparty risk, especially in relation to CVA (credit value adjustment) and develops the basic models and methodologies for the quantification of counterparty risk. All related aspects such as PFE, default probability, netting, collateralisation, credit derivatives and wrong-way risks are covered in detail. Case studies and practical exercises will consolidate knowledge gained throughout the training course.
