Counterparty Credit Risk and CVA

Price: $995   Register now

Recommended that you register at least two weeks in advance.

Course Features

  • Course date:06/11/2020
  • Course Duration: 1 Day
  • Level: Beginner-intermediate
  • Prerequisites: None
  • Method: Live & Virtual
  • Venue: 115 Broadway, NY, NY 10006
  • Time: 9:30 am – 5:00 pm
  • Dress Code: Business Casual
  • Category:
  • Certificate: Yes
  • CPE Credits: 7
  • Course Code: 113

Counterparty Credit Risk and CVA

The 2008 financial crisis and Eurozone crisis intensified scrutiny of counterparty risk and risk management practices.  A significant deficiency until recently was that there was no marking to market of counterparty risk.  As technology and analytics have improved, Credit Value Adjustment is being integrated into a product’s pricing and as part of banks’ risk management practices.

Who should attend:

This course is designed for bank regulators and examiners so that they can supervise banks’ use and calculation of CVA.

The course is interactive and will include relevant exercises and articles for discussion.

Course Objectives

At the end of this course, attendees should be able to:

  • Define Credit Value Adjustment
  • Discuss CVA formulae and discuss CVA quantitative examples
  • Enumerate Basel III requirements for CVA
  • Define DVA
  • Identify how practitioners manage CVA volatility

Module I        What is Credit Value Adjustment?           

    • Define CVA
    • Identify where in a bank is CVA important
    • Discuss why CVA is now so topical


Module II       CVA Drivers

  • Describe drivers of CVA
  • Discuss how CVA is used as part of banks’ trading strategies

 Module III     Quantifying CVA

  • Enumerate and discuss formulae for CVA
  • Discuss how banks calculate CVA
  • Discuss the role of collateral and netting on credit exposures
  • Identify current challenges with collateral
  • Particularly in light of Eurozone crisis


Module IV     Debt Value Adjustment 

  • Define Debt Value Adjustment
    • Discuss the role of correlation and closeout assumptions
    • OIS discounting


 Module V       Basel III and CVA 

  • Discuss effective expected positive exposure (EPE)
    • Role of stressed parameters
    • Wrong-way risk
  • Identify the mechanics of CVA risk capital charge
    • Standardized
    • Advanced
  • Describe the treatment of incurred CVA


Summary Conclusion and Question and Answer Session



  • Mayra Rodríguez Valladares is the Managing Principal of MRV Associates.  She specializes in training and consulting solutions for Basel III, Dodd-Frank, risk management, financial derivatives, capital markets, foreign exchange, and corporate finance.  She has worked with the private sector and foreign central banks in the US, UK, Latin America Eastern Europe, Central, and Southeast Asia, …
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