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Course Outlines

Risk Management

Risk Management Techniques and Basel II-III

Operational Risk and Basel II

Credit Courses

Writing Credit Applications - A Foundation Course

Advanced Credit Analysis and Risk Management

Analysing Banks

Loan Documentation

Loan Markets

Credit and Loan Markets

Consulting and On-Site Training Services

Basel II Operational Risk Framework Design and Build

Basel II Framework Implementation, Compliance and Training

Operational Risk Compliance Review and Gap Analysis

Organizational Structure Design

Counterparty Credit Risk and CVA Workshop

Day One

9:00 10:30 Background

  • Historical perspective
  • Mitigating counterparty risk
  • Credit lines
  • Models and computation
  • Regulation

10:30 10:45 Break

10:45 12:30 The components of CVA

  • Why is CVA so complex?
  • Credit exposure
  • Default probability
  • Recovery rates

12:30 13:30 Lunch break

13:30 15:15 Credit exposure

  • Typical credit exposure profiles
  • Simulation methodology for exposure
  • Incremental and marginal exposure
  • The impact of collateral

Example :i) simulating the exposure for an interest rate swap, ii) calculatingincremental and marginal exposure and calculating exposure with CSAs

15:15 15:30 Break

15:30 17:00 Credit value adjustment (CVA)

  • The CVA of a swap
  • CVA formulas
  • CVA examples
  • Incremental and marginal CVA

Examples : calculating CVA comparing the standard and approximate formulas.

Examples for different instruments. Calculating incremental CVA.

Day Two

9:00 10:30 CVA complexities

  • CVA and collateral
  • Bilateral CVA (DVA)
  • The problems with DVA
  • Funding

Examples :Calculating CVA including netting and collateral. Calculating DVA.

10:30 10:45 Break

10:45 12:30 Wrong way risk

  • Evidence and examples of wrong-way risk
  • Examples for FX, commodities and options
  • Credit derivatives
  • Monoline insurers
  • Central counterparties

 Examples : Pragmatic wrong way risk approaches

12:30 13:30 Lunch break

13:30 15:15 Regulatory Capital

  • The impact of PFE at the portfolio level
  • The alpha factor
  • Basel 2 and EEPE definitions
  • Basel changes post crisis

15:15 15:30 Break

15:30 17:00 Management of CVA

  • Approaches to manage CVA
  • Double default
  • Dynamic hedging and CVA greeks
  • Hedging and DVA
  • Hedging in practice

Course Outlines

Quantitative Analysis

Credit Model Validation

Credit Scoring and Internal Ratings

LGD and EAD prediction

Counterparty Credit Risk: CVA and EPE

Course Outlines

Financial Markets

ACI Dealers Certificate Workshop

ACI Operations Certificate Workshop

Introduction to Financial Markets

Money Market Workshop

Foreign Exchange Workshop

Bonds Workshop

Financial Math Workshop

Introduction to Derivatives

Introduction to Banking

Fundamental Analysis

Treasury Management Workshop

Finance for Non Financial People

Ethics and Compliance

Balance Sheet, asset and Liability Management

Yield Curves