Counterparty Risk, Funding,

Discounting, CVA & FVA: Modeling, Managing,

and Hedging
Course Overview
Credit Valuaton Adjustment (CVA) is the diference between the risk-free value of a
portolio and the true value of that portolio, accountng for the possible default of a
counterparty. The major objectves of CVA is to introduce a bufer of reserves to insure
overall losses arising from counterparty risk and provide a fair value for derivatves
transactons. During the 2008 fnancial crisis the CVA-related losses were larger than the
default losses, implying the necessity for improving the current CVA framework. This
course is essental for insttutons that are keen to improve their knowledge in this key
area and those who are ambitous to establish or improve their own CVA analytcs and
trading functon. The course is also suitable for individuals from major CVA traders who
require educaton on the fundamentals of the actve management of counterparty risk.
The two day agenda will provide detailed informaton on CVA modelling techniques and
applicable hedging strategies by dedicatng the frst day to tutor-led training on these
concepts. The following day will ofer insightul and experienced views on the crucial
decisions that need to be taken before establishing or growing a CVA desk within an
insttuton.
21 Lockesfield Place.,
London, E14 3AH
UK
Phone: +44-(0)7825584915
E-mail: info@themellion.com
Web: www.themellion.com
Themellion Ltd
Build on knowledge
Who will beneft?
This course will be extremely valuable for practtoners who are involved in developing
a new CVA functon, and those at the early stages of using CVA within a bank. Specifc
job ttles may include but are not limited to: CVA Trading, CVA Controller, Internal Au-
dit, Prime Brokerage, Financial Risk, Head of Credit Risk, Counterparty Risk Analyst,
Head of Collateral Management, Structured Credit Valuaton/Trading.
You will
Explore the legal framework impactng CVA: Basel
III, CRD4, Dodd-Frank
Understand wrong way risk
CVA, DVA and funding explained
Tackle CVA vs. CCR implementaton requirements
and challenges
Practcal examples of netng, aggregatng and
adding EPE profles
Understand collateral modelling
Recognize the importance of data management
within a trading system
Distnguish the interacton between risk
management, capital calculaton and CVA pricing
Determine how to optmize your corporate
Framework.
Instructor
Ignacio Ruiz provides contractng and independent consultng services in
Quanttatve Risk and CVA. He is highly delivery orientated. Ignacio, has a
proven track record at designing risk methodologies, building risk ana-
lytcs frameworks and managing projects to completon in ter-1 invest-
ment banks. Previous to establishing himself independently, he was the
head strategist for Counterparty Risk exposure measurement at Credit
Suisse, and the head of Equity Risk Methodology at BNP Paribas. He
holds a PhD in nano physics from Cambridge University.




Locaton
MilanTBC

Deadline
18 April 2014
May 7 (9:00 a.m. 5:00 p.m.)
Introducton to Counterparty Risk, Discountng, CVA &
FVA
- Why are counterparty risk and CVA important?
- Funding, discountng and CVA
- The three legs of counterparty risk: CVA, risk manage-
ment and capital
- Strict defnitons
-Good (and bad) approximatons
Basic Methodologies for CVA, FVA and Discountng
-Monte Carlo Simulatons
-Advantages
-Disadvantages
-The four steps in a MC simulaton
-Risk Factor Evoluton
-Pricing
-Risk profle calculaton
-CVA integraton, capital calculaton, inital margin
-Analytcal calculatons
-Standard models
-interest rates
-FX
-equity
-credit
-commodites
Advanced Methodologies for CVA, FVA and discountng
- Model Wrong Way Risk
-specifc wrong way risk
-generic wrong way risk
- Advanced models
-Stochastc volatlity
-Jump-difusion processes
- Calculaton of CVA sensitvites
- Risk Measures and CVA calibraton
-What each of the optons imply to my operaton
- CVA, DVA, discountng and funding
- Collateral modelling


Curriculum
Practcal Examples
- Single trade examples
-Swaps
-Forwards
-Optons
-Exotcs
- Portolio examples
-Collateral V. uncollateralized calculatons
-Netng, aggregatng and adding risk profles
May 8 (9:00 a.m. 5:00 p.m.)
Hedging and Managing CVA and FVA
-CVA as the price of a CCDS
-Types of hedging
-from the risk management perspectve
-from a pricing perspectve
-Dynamic hedging
-Most important sensitvites
-Frequency of hedging
-Managing liquidity
-Proxy hedging
-Hedging DVA
-1-way v. 2-way CVA hedging
-Managing Funding
Managing Risk and Calculatng Capital
-CVA risk management
-Default risk
-Exposure management
-How we set up limits
-Examples
-Capital and Reserves
-Regulatory & Economic Capital
-Basel II & III
-CVA-VaR and CCR charges
-Central Counterparty Clearing


Specifcs of Funding and Discountng
- A history of CVA and FVA in fnancial insttutons
- Why we need an FVA adjustment
- The true meaning of that adjustment
- FVA and discountng
- FVA calculaton
- Current challenges

Implementng a CVA and FVA System in your Organiza-
ton
- What is and is not required from a counterparty risk &
CVA system?
- Data management
-Portolio
-Market Data
-Statc Data
-Collateral, margining, netng
- Internal V 3rd party vendor systems
-which one is best for me?
- Parallel computng
-optmizing the speed of my calculatons
- System scalability
- Managing Monte Carlo noise
- Final discussion and questons
Curriculum (cont.)
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Cancellaton Policy
Full refunds will be available on all cancellatons mailed or faxed to the registrar up to 15 working days prior to the start of the event. Regis-
tratons cancelled 614 working days prior to the event are subject to a service fee equal to 50% of the registraton fee. Registrants who
cancel reservatons 5 or fewer working days prior to the event will forfeit the entre fee. Registrants failing to atend the eventno-shows
will not be eligible for refunds.
If you cancel your registraton and are due a refund, any foreign exchange diferental between your inital payment and the refund is your
responsibility.

Early Registraton (before 11 April
2014)
EUR 2,000
Standard Registraton EUR 2,400
Registration
Milan, Italy
May. 7th: 9:00 am to 5:00 pm
May. 8th: 9:00 am to 5:00 pm