• Liquidity risk supervision • OTC derivatives regulations • Credit quality • Asset liquidity • Liquidity stress testing • Portfolio construction • Debt valuation adjustment • Basel III , • Liquidity buffers • Inflation volatility • Funding value adjustment • Systemic risk • Counterparty risk • Collateral optimisation • Credit CVA • Risk appetite

20 March, 2012

Managing and mitigating CVA - where will it lead us?

 Led by Jon Gregory, Counterparty Risk CONSULTANT

8:30 Registration and coffee

9:00 Background

  • History of counterparty risk and CVA
  • Benefits of CVA
  • The impact of Basel III
  • Default probability
  • Credit exposure

10:30 Morning break

11:00 Complexities of CVA

  • Incremental and marginal CVA
  • Debt value adjustment (DVA)
  • Wrong way risk
  • Requirements for counterparty risk under Basel III/CRD 4

12:30 Lunch

13:30 Managing and Mitigating CVA

  • CVA under collateral agreements (CSAs)
  • OIS discounting and funding issues
  • CVA Greeks
  • The impact of DVA
  • Practical hedging

15:00 Afternoon break

15:30 Central counterparties

  • Rationale
  • Multilateral netting
  • The mechanics of trading through a CCP
  • Margining and the loss waterfall
  • Important CCP questions
  • Will CCPs work?

 17:00 End of the seminar

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