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The xVA Challenge: Counterparty Risk, Collateral, Funding, Capital, Initial Margin, and Central Clearing

London Financial Studies
En London (Inglaterra), Dubai (Emiratos Árabes Unidos), Hong Kong (Hong Kong) y 3 sedes más
1 opinión

4001-5000

Información importante

Descripción

This course explains and describes the valuation adjustments in derivatives pricing in relation to counterparty risk, collateral, funding, and capital. The ideas are built up sequentially and workshops are used to develop the key ideas including modeling, legal aspects, portfolio effects and the resulting calculation of CVA, DVA, FVA, ColVA, KVA, and MVA.

Particular attention is paid to current market practice (analyzed by survey results), the impact of regulation (e.g. Basel III) and accounting standards (IFRS 13). Future changes such as mandatory clearing and bilateral margining requirements are also covered. 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?

Banks, end-users of derivatives, regulators, and third parties
Derivatives traders, structurers and salespeople
Treasury departments
Risk managers (market and credit)
IT, product control, legal, and operations
Quantitative researchers
Portfolio managers
Operations / Collateral management

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

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
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Dubai
Dubai, Emiratos Árabes Unidos
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A elegir
Hong Kong
Hong Kong, Hong Kong
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13 marzo 2017
London
34 Curlew Street, se12nd, London, Inglaterra
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24 abril 2017
New York
New York, Estados Unidos
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23 noviembre 2016
Singapore
The Finexis Building, Singapore, Singapur
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28 noviembre 2016
Sydney
New South Wales, Australia
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Opiniones

D

26/10/2016
Lo mejor It is a great course as the teacher makes Xva accessible although the topic is quite complex. I came out with a good overview on the topic çhistory, economic relevance and development.

A mejorar Nothing.

Curso realizado: Octubre 2016 | Recomendarías este centro? Sí.

¿Qué aprendes en este curso?

Risk
IFRS
Accounting
Simulation
IT risk
Methodologies
Collateral
Central Clearing
Counterparty Risk
Topology
xVA Challenge
Bilateral CVA
Initial Margin

Temario

Day One

Background
  • Example
  • Overview and history
  • The impact of regulation and accounting
  • xVA overview
  • Setups
Regulation and accounting
  • IFRS 13
  • Basel III (capital, leverage ratio, NSFR, LCR)
  • Clearing mandate
  • Bilateral margining rules
  • Economic vs. regulatory decisions
Exposure
  • Credit exposure
  • Credit limits and PFE
  • Simulating exposure
  • Choice of model
  • Impact of close-out netting
Example: IRS exposure Simulation
Default probability
  • Historical default probabilities
  • Recovery rates
  • The credit risk premium
  • Risk-neutral default probabilities
  • Mapping methods
Example: Default probability calculation
Day Two
Collateral, CVA and FundingCollateral
  • Collateral mechanics and variation margin
  • OIS discounting and collateral optionality
  • The impact of collateral on exposure
  • Initial margin
  • Collateral and funding 
CVA
  • What is CVA?
  • Credit risk warehousing or active management?
  • CVA formulas
  • CVA examples
  • Wrong-way risk
Example: CVA calculation
Beyond CVA
  • Incremental CVA
  • Impact of collateral on CVA
  • Bilateral CVA
  • DVA (debt value adjustment)
  • DVA and the link to funding
Example: CVA/DVA calculation
Funding and FVA
  • FVA formulas and examples
  • Defining funding costs
  • CVA/DVA/FVA framework
  • Arguments over FVA
  • FVA and NSFR
Example: FVA calculation
Day 3
Capital, CCPs and Initial marginRegulatory capital and KVA
  • Counterparty risk capital requirements
  • Review of capital methodologies
  • Impact of SA-CCR and FRTB
  • Capital value adjustment (KVA)
  • KVA examples
Example: EAD and KVA calculations
CCPs and bilateral initial margin
  • Mechanics of OTC clearing
  • CCP risk management
  • CCP initial margin methodologies
  • Bilateral margin requirements
  • SIMM (standard IM model)
Example: Initial margin calculations
Initial margin and MVA
  • Initial margin and segregation
  • The impact of initial margin on CVA and KVA
  • MVA
  • The risks of increasing margin requirements
Example: MVA calculation
Managing and optimizing xVA
  • xVA desks
  • Mandate of the xVA desk
  • Passive vs. active management
  • CVA hedging and risk limits
  • CVA hedging and capital relief
Example: Complete xVA calculations