Events

Counterparty Credit Risk: CVA, Collateral, Basel 3 and Funding

Created by Anne Jenkins (See other events)

This class explains and describes counterparty risk and the quantification and management of CVA. The ideas are built up sequentially and workshops are used to develop the key ideas including simulation of exposure, the impact of risk mitigants and calculating CVA. Attention is also given to the impact of recent regulatory changes under Basel III on the management of counterparty risk and CVA - in particular CVA VAR and Central Counterparties.

Participants will be able to take away all worked examples and additional exercises and models implemented using Excel functions and macros.

All delegates receive a copy of Jon's new book;  "Counterparty Credit Risk: The new challenge for global financial markets“

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Date: 4th - 6th November 2013
Venue: Manhattan - New York

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