- Develop a general understanding of valuation reserves as a complement to risk measurement.
- Review FAS157 fair value accounting rules.
- Explore the process of setting aside valuation reserves under fair value accounting.
- Understand the process of calculating derivative counterparty risk exposure and how it ties to CVA.
- Explore ideas for combining CVA into VaR and other risk measures.
- Estimate valuation reserves for volatility skew using Vega risk sensitivities (Excel).
- 1 hour
- 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.