Credit Valuation Adjustment

USD $195


In this e-Learning course, we explore Credit Valuation Adjustment (CVA) as a crucial component in risk measurement and valuation. We engage with you in practical exercises in Excel, to calculate exposure to CVA as a function of CVA and DVA, for a hypothetical portfolio consisting of two interest rate swaps.

Who Should Enroll:

This course is ideal for risk managers, financial analysts, quantitative professionals, and anyone looking to gain a comprehensive understanding of CVA, counterparty credit risk, and related calculations. It is suitable for College and University students who aspire to become risk and finance professionals.

What You Will Gain:

Upon completing this course, you will:

  • Acquire an understanding of the emergence and importance of Credit Valuation Adjustment (CVA) in risk measurement and valuation.
  • Develop practical skills in calculating counterparty credit risk exposure for risk management and regulatory reporting using Excel.
  • Gain proficiency in running Monte Carlo simulations for interest rate risk and counterparty credit risk, enabling you to handle complex risk scenarios.
  • Learn how to measure net CVA while considering the effects of netting and collateral agreements, using Excel as a practical tool.
  • Understand the components of CVA and DVA, including probability of default, loss given default, and credit spreads, and how to derive these components from market and internal analysis.

Course Duration:

45 minutes

Course Access Duration:

270 days starting from enrollment date.

Recommended Course Prerequisites:

Risk Sensitivities


Audio-Visual Content and Course Duration:

  • The time that it takes to complete the course will be determined by your pace.
  • The total viewing time of lesson presentations is 1-1.5 hours;  individual lesson topics are between 5-15 minutes each, presented as audio-visual content.
  • The time needed to complete each exercise presented is between 10-20 minutes, based on your level of engagement.
  • The exam is allocated 1 hour.

Downloadable Content:

  • The exercises presented in lessons are provided in a downloadable Excel spreadsheet. This will enable you to practice the exercises, side-by-side with the lesson presentations.
  • A downloadable PDF is provided as a text version of the lessons presentations. This can be used as reference and to make notes, as you go through the presentations.

Exam and Certificate:

  • The course exam is comprised of questions in the form of true/false, multiple choice, sorting choice, and fill in the blank.
  • A personalized course certificate will be issued to you with a minimum score of 50%.


Scroll to Top
Optimal MRM Official Logo