Counterparty Risk, Funding and Capital: CVA, FVA, DVA & KVA

London, 10 - 12 September 2014

Course Highlights:

  • Clear guidance on managing and discounting CVA and FVA
  • Practical examples and the opportunity to put newly acquired knowledge to use in hands on exercises
  • Discussion of the latest thinking on the use of valuation adjustments
  • Insights on how to implement or improve a CVA system in your organisation
  • Focus emerging issues relating to KVA, LVA and the potential for an ‘XVA desk
  • Separately bookable, third day covering advanced methodologies and practical exercises.

Learning Outcomes:

  • Understand wrong way risk
    - Calculate CVA using advanced methodologies
  • CVA, DVA and funding explained
    - Know how to manage CVA risk
    - Implement a Counterparty Risk system in your organisation
  • Distinguish the interaction between risk management, capital calculation and CVA pricing
  • Determine how to optimise your corporate framework.

Course Tutor

  • Ignacio Ruiz, Founder, iRuiz Consulting.

Ignacio Ruiz provides contracting and independent consulting services in Quantitative Risk and CVA. He is highly delivery orientated. Ignacio has a proven track record at designing risk methodologies, building risk analytics frameworks and managing projects to completion in tier-1 investment banks.

Previous to establishing himself independently, he was the head strategist for Counterparty Risk exposure measurement at Credit Suisse, and the head of Equity Risk Methodology at BNP Paribas. He holds a PhD in nano physics from Cambridge University.



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