Counterparty Credit Risk and CVA of OTC Derivatives
Oct 18 - 19 Oct, 2012
This two day seminar is targeting financial industry professionals involved in OTC derivatives trading. The course addresses recent ?post crisis? trends in quantifying, managing and mitigating counterparty default risk at a portfolio level. As such it involves the consideration of legal netting under the ISDA agreements as amended, the setting of margining (including allowing for the industry standard margin lags), collateral levels and haircuts congruent with the ISDA CSA, capturing and addressing wrong way risks and ultimately setting appropriate credit value adjustments (CVA) both ?one way? as well as bilateral adjustments. Capital coverage for counterparty risk will be specifically addressed while accounting for industry best practices for economic capital allocation, while constrained by the new Basel III credit conversion factors and related regulation. The course will draw on best practices as applied at leading international banks.
Venue: London, United Kingdom