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Counterparty Risk, xVA and Central Clearing

21 junio, 2019

TEMARIO

Módulos
1. Background
1.1 Historical overview.
1.2 The OTC derivatives market.
1.3 IFRS 13 and Basel 3.
1.4 xVA definitions.
1.5 Setups.
2. Exposure
2.1 Credit exposure and credit limits.
2.2 EE, PFE and EPE.
2.3 Quantification of exposure.
2.4 Impact of netting.
2.5 Funding exposure.
3. CVA and DVA
3.1 Default probability calculation.
3.2 CVA formula and examples.
3.3 Bilateral CVA and DVA.
3.4 The problems with DVA.
4. Funding and FVA
4.1 The source of funding costs.
4.2 Defining FVA.
4.3 FVA examples
4.4 Arguments over FVA
4.5 Market approach to FVA
5. Collateral
5.1 Credit support annex and terms
5.2 Variation and initial margins
5.3 Collateral calculation
5.4 Haircuts
5.5 Impact of collateral on credit exposure
6. Capital
6.1 Regulatory capital requirements
6.2 Review of capital methodologies
6.3 Capital value adjustment (KVA)
6.4 KVA examples
7. Central Counterparties
7.1 The basics of central clearing
7.2 CCP mechanics
7.3 Direct and indirect clearing
7.4 CCP risk management
7.5 CCP risks
8. Initial Margin
8.1 Bilateral margin rules
8.2 Initial margin methodologies
8.3 The impact of initial margin on CVA and KVA
8.4 MVA
HORAS: 13 2 Sesiones

Información

Fecha de inicio 21 / 06 / 2019
Pais México
Duración 13 Horas (2 Clases)
Sedes
  • JW Marriot Santa Fe
Horarios WORKSHOP 10:00 am a 6:00 pm
* El horario varia según el módulo
Puntos AMIB N / A
Puntos Mexder N / A
Precio USD $35,000.00 M.N. + I.V.A.