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ITS_244 - Credit Value Adjustments

Enrollment in this course is by invitation only

About This Course

Credit Value Adjustment (CVA) is the difference between the risk-free portfolio value and the true portfolio value that takes into account the possibility of a counterparty's default. In other words, CVA is the market value of counterparty credit risk. This price depends on counterparty credit spreads as well as on the market risk factors that drive derivatives' values and, therefore, exposure.

Delegates will gain a thourough understanding of:

  • The need for the application of CVA/DVA/FVA (xVA) techniques and capital charges in a Bank Derivatives business
  • Understand the role of the Credit Support Annex (CSA)
  • Apply the concepts of Collateral Thresholds (TH), Minimum Transfer Amounts (MTA), Replacement Costs (RC)
  • Analyse the funding issues associated with bilateral CSA mechanisms
  • Analyse the mechanics for Single Name and Index Credit Default Swaps
  • Understand the concepts of Premium, Recovery and Default Risk
  • Analyse CDS Default Event Trigger Mechanisms
  • Analyse pricing of Single Name Credit Default Swaps (Hazard Rate Model)
  • Understand the differences between PFE, EE, EEPE
  • Analyse and model the credit profiles associated with common derivatives products such as FX Forwards, Interest Rate and Cross Currency Swaps
  • Analyse and model the credit profiles associated with common derivatives products such as FX Forwards, Interest Rate and Cross Currency Swaps
  • Calculate the capital charges associated with Counterparty Credit Risk

Requirements

Delegates attending are expected to have a good knowledge of Derivative Products and Credit. Laptop with Excel required.

Course Director

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Andrew Kinsey

Andrew has over 25 years’ experience in financial markets both for international and local (South African) institutions. He was a trader and senior manager in the derivatives and cash-trading environment, and worked as a Derivatives Trader at Nedcor, Standard Bank and Corpcapital Bank, trading foreign exchange, fixed income and equity assets. He was head of the ABN AMRO South Africa Money Market and Foreign Exchange unit. From 2008 to 2014 he was Head of Market and Trading Risk at the Purple Capital Group. This set the basis for the next period as he moved into risk management for hedge funds and in the online trading environment. This allowed him to build on his skills as a market trader to construct risk management systems, which illuminated granular market exposures as well as a communication tool for the business executives. At the same time he began to spend an increasing amount of time training and lecturing both graduates and experienced staff in market products and economics.

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