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

New York, 17 - 19 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

  • In depth understanding of wrong way risk
  • Ability to calculate CVA using advanced methodologies
  • Knowledge of how to manage CVA risk
  • Practical know-how on implementing a counterparty risk system in your organisation
  • Overall appreciation of the interaction between risk management, capital calculation and CVA pricing

 

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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