A Two-Day Course Led by Damiano Brigo

According to Basel III, two thirds of the losses during the financial crisis were due to CVA mark to market rather than to actual defaults. A clear understanding of the fundamental paradigms underlying proper counterparty risk pricing and of the related subtleties and intricacies is fundamental in today's financial environment. This course, from one of the long-time international leaders in the advanced CVA methodology, deals with the techniques for proper CVA pricing and restructuring, clarifying also why such solutions have not been fully adopted yet by part of the industry.

Key Objectives:

• Understand how one can calibrate credit models to CDS and bonds
• The key and often ignored role of credit volatility
• Understand how one can model credit dependence or "correlation"
• First principles definition of unilateral CVA and DVA
• Model dependency and model risk for bilateral CVA and DVA
• DVA hedging controversies, closeout conventions, and first to default risk
• Examples of CVA with Wrong Way Risk from Rates, Commodities, Credit and Equity
• Collateral Modeling, Collateral Folklore, Funding costs and Gap Risk
• CVA restructuring: Contingent CDS and Margin Lending

Download Brochure

Fees: Register by May 21st, 2012 and receive a $200 early registration discount. PRMIA Sustaining Members receive an additional $100 discount. Fee includes program materials, morning and afternoon coffee break and lunch.

Early Registration Fee

Sustaining Members:  $1,700 ($2,023 including VAT)
Free/Non-Members:    $1,800 ($2,342 including VAT)

After May 21st, 2012

Sustaining Members:  $1,900 ($2,261including VAT)
Free/Non-Members:    $2,000 ($2,380 including VAT)

Registration: You may register for this course by clicking on the Register Online in the left-hand margin or Download Enrollment Form For questions regarding registration please contact Allyn Sellers at (612)-216-4739 or by email at allyn.sellers@prmia.org