COUNTERPARTY CREDIT RISK: THEORY, IMPLEMENTATION AND PRACTICE

 

Dates

13- 15 July, 2016


Value Drivers 

Counterparty Credit Risk and CVA have become key concepts since the onset of the global financial crisis. Additionally the importance of funding issues and FVA have become parallel problems. Regulatory rules impact OTC derivatives markets dramatically with large capital charges for bilateral trades and requirements over mandatory central clearing and initial margins.

The Professional Risk Managers' International Association - PRMIA and SDA Bocconi School of Management have planned this new international program that aims to explain the key aspects in this important area and look at their impact in the future. During the program, participants will get a solid theoretical background on counterparty risk and CVA, will attend an Excel Laboratory demonstrating several practical examples and their full implementation and discuss the application of CCR in modern financial markets with leading practitioners.


Participants

  • Regulators
  • Risk managers
  • Credit and counterparty risk managers
  • CVA desk analysts
  • Controllers and audit experts
  • Quantitative risk analysts
  • Derivative and finance professionals.

Contents and Agenda

13 July 2016: Theory

9.30 am - 5.30 pm
  • Background and history of CVA
  • Impact of accounting and regulation
  • Close-out, netting and collateral
  • Default probability and exposure
  • Credit value adjustment
   

14 July 2016: Implementation

9.00 am - 5.30 pm
  • Counterparty Lab in Excel (basic)
  • Credit Risk (Intensity Models)
  • Credit Default Swaps
  • Bootstrapping CDS Spreads
  • Interest Rate Swaps
  • Monte Carlo Simulation of IRS
  • XVA implementation for IRS
   

15 July 2016: Practice

9.00 am - 5.30 pm
  • Basel 2 and Basel 3 counterparty rules
  • Capital Requirements
  • EU Regulation
  • BIS Working Papers
  • Experiences in banking groups
  • Large-scale implementation of CVA

 

Faculty 

  • Jon Gregory - Partner at Solum Financial, Program Co-Director
  • Alonso Pena - SDA Bocconi Professor of Banking and Insurance, Program Co-Director

Guest Speakers

  • Francesco Ivan Pomarico - Unicredit Group
  • Andrea Prampolini - Banca IMI
  • Beniamino di Sapio - Markit
  • Maurizio Busetti - NumeriX
  • Andrea Fabbri - BNP Paribas

Learning Model 

  • Solid theoretical lessons
  • Detailed implementation workshops
  • Practitioner-lead case studies

A basic understanding of derivative product structures is required, as well as working-knowledge of Excel. Participants will receive a copy of the book "The xVA Challenge: The Continuing Challenge for Global Financial Markets", Jon Gregory, 2015, 3rd edition, John Wiley and Sons.


Enrollment procedure 

Please complete the enrollment request form, available on this web page, and mail or fax to:
SDA Bocconi School of Management
Cristiana Testa
fax +39 02 5836.6833
email: cristiana.testa@sdabocconi.it

The final deadline for enrollment is 23 June 2016.  Enrollment requests are reviewed on a rolling basis, those received after the final deadline may be accepted. For further information on this option please contact Cristiana Testa.
Please see details in the enrollment form.


Participation fee 

€ 2.700 + VAT (if required) 

The program fee covers tuition, case materials, meals, one social event and a copy of the book "The xVA Challenge: The Continuing Challenge for Global Financial Markets", Jon Gregory, 2015, 3rd edition, John Wiley and Sons. 


Special Payment Terms 

  • A 10% reduction on the program fee is offered to applications sent in by 14 May 2016.
  • A 15% reduction on the program fee is offered to PRMIA Sustaining Members.
  • A 20% reduction on each program fee is offered to Companies or Institutions that register at least 3 participants for this program.

These offers are not cumulative. See all specal payment terms here.


Credits

SDA Bocconi School of Management is registered with CFA Institute as an Approved Provider of continuing education programs for CFA Institute members. This program qualifies for 21 CE credit hours and special payment terms. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE tracking tool. Plesae concact  Ingrid Battistini (ingrid.battistini@sdabocconi.it) for further information.


Directors' publications

 

 

The xVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital

Jon Gregory

 

read more >
     
 

Advanced Quantitative Finance with C++

Alonso Peña
SDA Bocconi School of Management

 

read more >

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