Training

Counterparty Credit Risk: from the CVA to Margin Lending

Claudio Albanese's Bio: Claudio Albanese runs Global Valuation Limited and is a Visiting Professor of Mathematics at King's College London. He was awarded a PhD in Physics by ETH Zurich and held full time professorships at the University of Toronto and Imperial College London. He consulted extensively for first tier banks and buy-side organizations in the areas of derivative pricing and risk management.

Course Objective

The goal of this two-day course is to enable attendees to identify the key categories and drivers of transaction credit risk in the main derivative products, and to apply a consistent approach to the quantification of these risks. Specifically, participants will be equipped to:

• Assess in detail the counterparty credit risks in interest rate, foreign exchange, credit derivatives and equity derivatives.
• Apply lessons learned from the current crisis to re-structure, transfer and mitigate counterparty risk.
• Quantify counterparty credit risk of a portfolio of transactions in terms of expected exposure, expected loss and loss distributions.
• Analyse strategies for margin lending via REPO markets and securitization.

Target Audience

Risk managers, CVA traders, CDO managers, analysts, controllers and regulators who need to understand how derivative credit risk is measured, mitigated and accounted for. A basic understanding of derivative product structures is required.

For further information and to discuss about workshop date and to arrange internal courses, please contact us at team@global-valuation.com

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