As collateralization has become the norm in OTC derivative markets around the world, market participants have observed a significant impact on valuation due to collateral conditions mandated by the Credit Support Annex (CSA). The flow of collateral has a significant effect on the cost of funding as well as the measurement of Counterparty Risk, specifically Credit Value Adjustment (CVA), both of which in turn impact the price assigned to a derivative product. To address the complexity in existing CSAs, the International Swaps and Derivatives Association (ISDA) has created the Standard CSA (SCSA) which aims to standardize the CSA across the industry.
Join Numerix on Wednesday, May 8th at 10:00 am EST as Satyam Kancharla, SVP of the Numerix Client Solutions Group, discusses best practices in CSA modeling and illustrates how CSA modeling impacts pricing, funding and risk calculations.
In this webinar, Mr. Kancharla will address:
- The key elements of a CSA, and how these elements impact valuations and risk measures for trading and risk management
- The ISDA Standard CSA and how it changes things
- How to model a typical CSA, with illustrated examples of how modifications to the CSA affect a portfolio
- A practical definition and example of Funding Valuation Adjustment (FVA), and how the CSA impacts FVA
Attendance is complimentary, Registration is required.
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