Counterparty Risk, Credit Exposure and CVA

This course explains and describes counterparty risk and funding and the quantification and management of CVA and FVA.

The ideas are built up sequentially and workshops are used to develop the key ideas including simulation of exposure, the impact of risk mitigants and calculating CVA and DVA. Attention is also given to the impact of recent regulatory changes under Basel III on the management of counterparty risk and CVA. The impact of collateral and related funding costs is also considered together with a focus on FVA quantification and its relationship to CVA and DVA.

Participants will be able to take away all worked examples and additional exercises and models implemented using Excel functions and macros. All delegates receive a copy of Jon's book; "Counterparty Credit Risk: The new challenge for global financial markets“

Dr Jon Gregory has over 15 years experience as a practitioner in quantitative finance and is a partner at the capital markets consultancy Solum Financial Partners. From 1995 to 1997 he worked in the Fixed Income division of Salomon Brothers. From 1997 to 2005 he was with BNP Paribas and worked on many projects across the interest rate, equity, credit, insurance and risk management divisions. From 2005 until 2008 he was global head of credit analytics at Barclays Capital and responsible for a team of around 30 researchers globally. Jon has published a number of papers and articles on risk management, modelling and credit derivatives subjects and is a regular speaker at international conferences.

He was a co-author of the book "Credit: A Complete Guide to Pricing, Hedging and Risk Management", nominated in 2001 for the Kulp-Wright award for the most significant text in risk management and insurance.

He holds a PhD from Cambridge University. He is the author of "Counterparty Credit Risk: The new challenge for global financial markets" published by Wiley Finance and now in its second edition.