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April 2018

The xVA Challenge: Counterparty Risk, Collateral, Funding, Capital, Initial Margin and Central Clearing – New York

April 25 - April 27
New York

This course explains and describes the valuation adjustments in derivatives pricing in relation to counterparty risk, collateral, funding, and capital components. The ideas are built up sequentially and workshops are used to develop the key ideas including simulation of exposure, the impact of risk mitigants, collateral effects, regulation, and the resulting calculation of CVA, DVA, FVA, ColVA, KVA, and MVA. During the program, participants will examine the impact of accounting requirements (IFRS 13) on valuation adjustments; as well as addressing…

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Bilateral Margin Requirements and ISDA SIMM – The Impact of Mandatory Margining and Central Clearing – New York

April 30 - May 1
New York

Current regulation requires that OTC derivative markets implement bilateral margin rules. These rules are being phased-in with the aim of reducing systemic risk and promoting central clearing. This, along with related implications, is creating significant changes in the nature of collateralization both in terms of variation margin and initial margin – with the latter, in particular, being very complex to model in terms of costs and risk mitigation benefit. In this course we will explore in detail the mechanics of…

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