To
ensure we meet your expectations and maximise your return on training
investment, we favour a classroom/workshop set up for the delivery of our
courses. Please note we have therefore limited number of spaces available and
these will be assigned on a first come, first accepted basis. We recommend
early booking to avoid disappointment.
“...pragmatic approach to
counterparty risk and CVA by an experienced industry expert“
How will you benefit?
Counterparty Credit risk has become the key financial risk
for banks and other financial institutions to understand, quantify and manage over
the past few years. Indeed, during the recent crisis the share price
performance of the companies with the longest history in CVA trading was
substantially better than their peers. Counterparty Credit continues to be
poorly understood. This intensive and practical course covers all key aspects
of counterparty risk, especially in relation to CVA (credit value adjustment)
and develops the basic models and methodologies for the quantification of counterparty
risk. All related aspects such as PFE, default probability, netting, collateralisation,
credit derivatives and wrong-way risks are covered in detail. Case studies and
practical exercises will consolidate knowledge gained throughout the training
course.
• Full explanation of quantifying credit value adjustment
(CVA)
• Best practice for
managing counterparty risk in a financial institution and how to charge for
counterparty risk
• Learn about netting together with incremental and
marginal CVA
• Full coverage of
practical hedging aspects and measuring counterparty risk at a portfolio level
• Gain insight on implementation of counterparty risk
systems
• Understand the intricacies and how to deal with
wrong-way counterparty risk
• Get the latest ideas
on bilateral counterparty risk (DVA) and whether to use it in practice
•
Hear about the latest ideas and thinking on central clearing
About your expert trainer:
Dr Jon Gregory is a consultant specialising in the area of counterparty risk.
He started his career at Salomon Brothers (now Citigroup). From 1997 to 2005,
he worked for BNP Paribas, initially developing the framework for the pricing
and management of counterparty risk for the fixed income division and later
being part of the rapid growth of the credit derivatives business. From 2005 to
2008, he was Global Head of Credit Analytics at Barclays Capital based in London. He has published many papers in
the area of credit risk, recently looking at some of the complex counterparty
risk issues in relation to the credit crisis. In 2001, he was co-author of the
book “Credit: The Complete Guide to Pricing, Hedging and Risk Management”,
short-listed for the Kulp-Wright Book Award for the most significant text in
the field of risk management and insurance. He is also the author of the recent
book “Counterparty credit risk: the next challenge for the global financial
markets” published by Wiley Finance. Jon holds a PhD from Cambridge University.
Pre-course questionnaire:
A detailed questionnaire will be sent to all course participants to
establish exactly where the group training needs lie. The completed forms will
be analysed by the course leader/trainer and followed by telephone if further
clarification is required. As a result we can guarantee that the course is
pitched at exactly the right level and that the issues that you regard as
relevant are addressed. The course material will reflect these issues and will
enable you to digest the subject matter after the event in your own time.
Who should attend?
From Investment Banks, Financial Services Providers, Asset
Managers, Brokerage Firms, Hedge Funds, Consultancies and
Solution Providers:
Heads, managers, Advisors and market Players in:
• Counterparty risk
• Exposure management
• Traders, structurers and salespeople
• Credit risk and control
• Financial engineers / quantitative analysts
• Risk management
• Product control
• Collateral management
• Technology
• Middle office
• Legal
• Market risk
•
Portfolio Manager
