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OTC Derivatives, Counterparty Risk and xVA

London Financial Studies
En Dubai (Emiratos Árabes Unidos)

US$ 3.890 - (3.684 )
IVA exento

Información importante

  • Short course
  • Dubai (Emiratos Árabes Unidos)
  • Duración:
    2 Days
  • Cuándo:
    A elegir
Descripción

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.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

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

Requisitos: Numerate background (basic) Knowledge of derivatives products Basic knowledge of Microsoft Excel

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
A elegir
Dubai
Dubai, Emiratos Árabes Unidos
Ver mapa

¿Qué aprendes en este curso?

Risk
Market
OTC Derivatives
Credit
Microsoft Excel
Simulation
IT risk
Risk manager
Derivatives
Probability
XVA
DVA
CVA
PFE
Middle office
Loan equivalents
KVA

Temario

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