Description
Learning Objectives:
- Examine how CVA emerged as a requirement in risk measurement and valuation.
- Calculate exposure based on the nomenclature of derivative counterparty credit risk for risk management and regulatory reporting (Excel).
- Simulate interest rate risk factors and derivative counterparty credit risk exposure using a monte-carlo simulation method (Excel).
- Measure net CVA as a function of CVA and DVA for a hypothetical portfolio of 2 interest rate swaps, taking into considerations the effects of netting and collateral agreements (Excel).
- Examine the components of CVA and DVA such as probability of default (PD), loss given default (LGD), and credit spreads, and how these components may be derived from market and internal analysis.
- Explore the concept of wrong way risk and its impact on exposure and CVA measurement.
Duration:
45 minutes
Audience:
- Staff and management in Risk, Finance, Operations, Audit, Risk IT, and Front Office, in financial organizations globally.
- Earn verifiable Continuing Education and Professional Development credits with Optimal MRM’s e-Learning program.
Recommended Course Prerequisites:
How long do I have to complete this course?
You will have access to course content for 270 days from enrollment date and can choose to complete the course at any time during this period.
