Credit Value Adjustment

Valuation and hedging of counterparty risk

  2 days
Course objectives

  • Know how to quantify counterparty risk applied to market transactions
  • Master the techniques of CVA
  • Know how to hedge counterparty risk
Course content

The context of CVA

  • Regulatory Constraints
  • Counterparty Risk Management
  • CVA in the pricing of market products

Counterparty risk

  • Exhibitions, probabilities of default, Recovery and LGD
  • Regulatory Environment

Quantify credit exposure

  • Calculation methods, applications
  • The impact of netting
  • Portfolio Effects

Credit derivatives

  • CDS: introduction, pricing, CDS Basis
  • Estimation of the probability of default
  • Index-linked products, structured credit
  • Wrong-way risk

CVA

  • Principle and calculation
  • Portfolio Effects
  • Bilateral CVA, DVA
  • CVA and wrong-way risk

Hedging counterparty risk

  • Components of risk
  • Static hedging: CDS, CCDS
  • Dynamic hedging
  • DVA Hedging
  • Cross-terms et wrong-way risks

Each point of the program is illustrated by an Excel Case Study




Patrice Robin

Patrice is an independent consultant on derivatives. Previously, Patrice spent 10 years in trading on interest rate derivatives, then structured products, swaps and vanilla options and became head of interest rate and inflation options in Santander Global Markets in London.

Patrice Robin also teaches :