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.

COMPLIMENTARY BOOK- delegates will receive a free copy of the trainer's new book “Counterparty credit risk: the next challenge for the global financial markets

Key Features:

· 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