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. 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.