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Credit Valuation Adjustments
 

Deriving accurate pricing and effectively managing counterparty risk to free more capital and minimize earnings volatility

29 March 2012 – 30 March 2012, Singapore

Why should you attend?

As Credit Valuation Adjustment (CVA) comes into the spotlight fairly late, sometime in 2008/2009 following the financial crisis where big firms such as Lehman Brothers failed, many companies are still at the very early stage of understanding and application of the mechanics of CVA calculations.

The correct pricing of OTC derivative trades or portfolios of uncollateralized derivatives trades requires then a counterparty-specific analysis of credit exposure and default risk. Without such correct pricing dealer firms cannot properly calculate risk-adjusted P & L, nor can they seek to correctly allocate capital. Transactions provided to customers can only be thought of as being priced with appropriately competitive ‘edge’ if priced along the lines described above.

This workshop aims to help you to develop capabilities such as incremental calculations of CVA, the incorporation of right/wrong way of risk and the expansion of product coverage in order to better manage your overall risk exposure in today’s dynamic market.


Key Benefits:

  • Grasping the concept of Counterparty Valuation Adjustments (‘CVA’s’) and how to implement them
  • Assessing and integrate CVA into pre-deal pricing and structuring to support future growth by freeing up more capital and minimizing earning volatility
  • Horning your capability to handle collateral more effectively in CVA calculations following the tightening of collateral requirements
  • Understanding and managing wrong/right way risks and CVA
  • Examining the best way to manage DVA component when pricing counterparty risk
  • Analysing CVA risks and sensitivities
  • Day 1 provides detailed insight into CVA and the rationale, workings and methods, from a largely qualitative point-of-view
  • Day 2 is intended to be more ‘hands-on’ and ‘quant’ exploration of CVA from the point of view of detailed calculation.  Each topic will be explored with detailed spreadsheets and calculations.


Who should attend:

Division Heads, Senior Manager, Managers and Specialist from the following:

  • Risk Management
  • Collateral Management
  • Interest Rate Derivatives Trading and Sales
  • Front, Middle and Back office for Interest Rate Derivates
  • Interest Rate Products Technology specialists
   
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