Counterparty Risk: Funding and Discounting CVA and FVA

This course is essential for institutions that are keen to improve their knowledge in this key area and those who are ambitious to establish or improve their own CVA and FVA analytics and trading function. The course is also suitable for individuals from major CVA traders who require education on the fundamentals of the active management of counterparty risk.

The two day agenda will provide detailed information on Counterparty risk, CVA and FVA funding and discounting. Day one will focus on some basic theories and methodologies, followed by some more advanced methodologies for calculating CVA, FVA and discounting. Then practical examples will be offered of how to apply these techniques to various trades. The second day will then go on to examine the hedging and management of CVA and FVA before going on to discuss capital calculation and offering guidance on how to implement CVA and FVA systems in your organisation.

Learning Outcomes:

Understand wrong way risk
- Calculate CVA using advanced methodologies
CVA, DVA and funding explained
- Know how to manage CVA risk
- Implement a Counterparty Risk system in your organisation
Distinguish the interaction between risk management, capital calculation and CVA pricing
Determine how to optimise your corporate framework.