Investment Operations

Counterparty Credit Risk and CVA

Categories Intermediate, Risk

Course Instructor

Course Level

Intermediate

Certification

Certificate

Delivery

Via Zoom

Hours (EST)

1:00 pm​ - 5 pm

Description

Date: November 6-7

Counterparty credit risk/CVA continues to be one of the most important challenges in today’s financial markets, and risk calculation in most large bank financial statements. The Counterparty Credit Risk and CVA virtual course is designed to empower individuals to understand what these calculations mean, interpret them for financial analysis, and identify, quantify, understand and mitigate counterparty credit risk arising from derivatives across the major asset classes. An intuitive non-quantitative approach will be employed throughout so that participants develop a feel for risk/reward tradeoffs without relying on complex mathematical formulas. By the end of the course, participants will be able to:

  • Explain counterparty credit risk (CCR) and its relationship to capital market trading activities.
  • Describe methodologies to mitigate counterparty credit risk.
  • Measure counterparty credit risk.
  • Describe fundamentals of pricing and hedging.
  • Explain credit value adjustments (CVA).

Prerequisite: None

Who should attend

  • Bankers, Relationship Managers, Financial Advisors, and Product Specialists
  • Traders, Dealing Room Staff, and Sales Executives
  • Risk Managers, Quantitative Analysts, and Economists
  • Investors, Fund Managers and Investment Analysts
  • Front Office, Middle Office and Back Office Staff
  • Bank and Securities Lawyers, Accountants, Tax Attorneys and other Service Providers
  • Compliance Officers, Due Diligence Experts, Auditors and Product Controllers
  • Securities Regulators, Legislators, and Associated Staff

Day 1

Counterparty Credit Risk/CVA, and Determining Exposure in Interest Rate Derivatives

  1. Define counterparty credit risk(CCR)
  2. Outline a brief history of OTC derivatives and CCR/CVA
  3. Review example of bank reporting
  4. Understand CCR in various interest rate derivatives

Determining Exposure in Foreign Exchange and Foreign Currency Derivatives

  1. Elements of FX and option terminology
  2. FX forwards and options
  3. Cross currency swaps and options
  4. Non-deliverable forwards (NDFs)
  5. Amortizing and forward starting swaps
  6. Embedded loans and non-standard swaps

Determining Exposure in Equity and Commodity Derivatives

  1. Precious metal forwards
  2. Energy forwards and options
  3. Single name equity swaps
  4. Equity index derivatives

Identifying CCR in Structured Instruments

  1. Equity-linked notes
  2. Currency-linked notes
  3. Newly emerging instruments and ETFs

Day 2

Key Mitigation Elements in CCR and CVA

  1. Netting and Netting Sets
  2. Termination Features
  3. Trade Compression
  4. Collateral Terms and Haircuts
  5. Thresholds and transfer amounts Central counterparties (CCP)

Credit Default Swaps (CDS), Loss Theory and CVA

  1. Exposure at default
  2. Loss given default
  3. Probability of default
  4. Recovery rates

Framework and Measures

  1. CVA model construction and review
  2. Define key measures of credit exposure:
  3. Expected exposure (EE)
  4. Potential future exposure (PFE)
  5. Expected positive exposure (EPE)

Portfolio CCR and the CVA Desk

  1. Discuss controlling exposure
  2. Define wrong way risk
  3. Explain impacts of correlation
  4. Describe the role of a CVA Desk

Summary & Questions

In-House Training

Custom Training can help you achieve your corporate training goals while staying on budget and focusing the content on the needs of your group. Email your questions regarding corporate training to training@investmentoperations.net.

2024 Training Calendar

Training Catalogue

Course Instructor

Course Level

Intermediate

Certification

Certificate

Delivery

Via Zoom

Hours (EST)

1:00 pm​ - 5 pm

Description

Date: November 6-7

Counterparty credit risk/CVA continues to be one of the most important challenges in today’s financial markets, and risk calculation in most large bank financial statements. The Counterparty Credit Risk and CVA virtual course is designed to empower individuals to understand what these calculations mean, interpret them for financial analysis, and identify, quantify, understand and mitigate counterparty credit risk arising from derivatives across the major asset classes. An intuitive non-quantitative approach will be employed throughout so that participants develop a feel for risk/reward tradeoffs without relying on complex mathematical formulas. By the end of the course, participants will be able to:

  • Explain counterparty credit risk (CCR) and its relationship to capital market trading activities.
  • Describe methodologies to mitigate counterparty credit risk.
  • Measure counterparty credit risk.
  • Describe fundamentals of pricing and hedging.
  • Explain credit value adjustments (CVA).

Prerequisite: None

Who should attend

  • Bankers, Relationship Managers, Financial Advisors, and Product Specialists
  • Traders, Dealing Room Staff, and Sales Executives
  • Risk Managers, Quantitative Analysts, and Economists
  • Investors, Fund Managers and Investment Analysts
  • Front Office, Middle Office and Back Office Staff
  • Bank and Securities Lawyers, Accountants, Tax Attorneys and other Service Providers
  • Compliance Officers, Due Diligence Experts, Auditors and Product Controllers
  • Securities Regulators, Legislators, and Associated Staff

Day 1

Counterparty Credit Risk/CVA, and Determining Exposure in Interest Rate Derivatives

  1. Define counterparty credit risk(CCR)
  2. Outline a brief history of OTC derivatives and CCR/CVA
  3. Review example of bank reporting
  4. Understand CCR in various interest rate derivatives

Determining Exposure in Foreign Exchange and Foreign Currency Derivatives

  1. Elements of FX and option terminology
  2. FX forwards and options
  3. Cross currency swaps and options
  4. Non-deliverable forwards (NDFs)
  5. Amortizing and forward starting swaps
  6. Embedded loans and non-standard swaps

Determining Exposure in Equity and Commodity Derivatives

  1. Precious metal forwards
  2. Energy forwards and options
  3. Single name equity swaps
  4. Equity index derivatives

Identifying CCR in Structured Instruments

  1. Equity-linked notes
  2. Currency-linked notes
  3. Newly emerging instruments and ETFs

Day 2

Key Mitigation Elements in CCR and CVA

  1. Netting and Netting Sets
  2. Termination Features
  3. Trade Compression
  4. Collateral Terms and Haircuts
  5. Thresholds and transfer amounts Central counterparties (CCP)

Credit Default Swaps (CDS), Loss Theory and CVA

  1. Exposure at default
  2. Loss given default
  3. Probability of default
  4. Recovery rates

Framework and Measures

  1. CVA model construction and review
  2. Define key measures of credit exposure:
  3. Expected exposure (EE)
  4. Potential future exposure (PFE)
  5. Expected positive exposure (EPE)

Portfolio CCR and the CVA Desk

  1. Discuss controlling exposure
  2. Define wrong way risk
  3. Explain impacts of correlation
  4. Describe the role of a CVA Desk

Summary & Questions

In-House Training

Custom Training can help you achieve your corporate training goals while staying on budget and focusing the content on the needs of your group. Email your questions regarding corporate training to training@investmentoperations.net.

2024 Training Calendar

Training Catalogue

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