Pricing and Trading CVA

Course highlights Introduction to CVA modelling and valuation Methodologies for pricing CVA Complexities of pricing explained Review of implementation and daily operations Hedging CVA; Risk management and pricing perspective Practicalities of trading systems The impact of CVA on an organisation The past, present and future of CVA incisive-training.com/cva Pricing and Trading CVA London 21 22 November 2012

Pricing and Trading CVA London 21 22 November 2012 About the course To address on-going financial challenges, many firms are now looking to review the methods used to manage counterparty credit risk (CCR). During the financial crisis, institutions with the most experience in CVA trading showed a significantly better share price performance than other firms, proving that CVA is of paramount importance to financial institutions that operate a lucrative derivative sales unit. CVA strategies have also been developed by major traders for the purposes of risk management and profitability through CVA pricing and hedging activities carried out by CVA trading desks. This course is essential for institutions that are keen to improve their knowledge in this key area and those who are ambitious to establish or improve their own CVA analytics and trading function. The course is also suitable for individuals from major CVA traders who require education on the fundamentals of the active management of counterparty risk. The two day agenda will provide detailed information on CVA modelling techniques and applicable hedging strategies by dedicating the first day to tutor-led training on these concepts. The following day will offer insightful and experienced views on the crucial decisions that need to be taken before establishing or growing a CVA desk within an institution. Learning outcomes Explore the legal framework impacting CVA: Basel III, CRD4, Dodd-Frank Understand wrong way risk CVA, DVA and funding explained Tackle CVA vs. CCR implementation requirements and challenges Practical examples of netting, aggregating and adding EPE profiles Who should attend? This course will be extremely valuable for practitioners who are involved in developing a new CVA function, and those at the early stages of using CVA within a bank. Specific job titles may include but are not limited to: CVA Trading CVA Controller Structured Credit Valuation/Trading Head of Counterparty Risk Management Head of Collateral Management Counterparty Risk Analyst Head of Credit Risk Derivative Operations Chief Risk Officer Credit Risk Management/ Analytics Market Risk Management/ Analytics Understand collateral modelling Quantitative Analyst CVA Modelling Model Review Model Validation Internal Audit Prime Brokerage Custody/Custodian Derivative Documentation Documentation Manager Financial Risk Enterprise Risk Manager Recognise the importance of data management within a trading system Distinguish the interaction between risk management, capital calculation and CVA pricing Determine how to optimise your corporate framework Venues London The Kingsley Hotel Bloomsbury Way, London WC1A 2SD Hotel Front Desk: 0871 376 9006 www.thistle.com New York Downtown Conference Center 157 William Street, New York NY 10038 T: 1-212-618-6990 Toll free- 877-DCC-MEET (322-6338) www.downtownmeetings.com

Pricing and Trading CVA London 21 22 November 2012 Course Tutor: Ignacio Ruiz, Founder, IRuiz Consulting and former Head Strategist for Counterparty Risk Exposure measurement at Credit Suisse Ignacio Ruiz Ignacio Ruiz provides contracting and independent consulting services in Quantitative Risk and CVA. He is highly delivery orientated. Ignacio, has a proven track record at designing risk methodologies, building risk analytics frameworks and managing projects to completion in tier-1 investment banks. Previous to establisihg 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.

Pricing and Trading CVA London 21 22 November 2012 Can t find what you re looking for? Incisive Training values our delegate feedback and is always looking for new ideas and suggestions for interesting topics you would like to see produced as a training course. If you would like to submit a subject area or have a topic you would like to see covered at one of our training events please contact Maeve Sugrue maeve.sugrue@incisivemedia.com Coming up in 2012 Managing and Controlling Model Risk New York 12 & 13 September 2012 London 27 & 28 September 2012 incisive-training.com/modelrisk John Wilson on OTC clearing New York 17 & 18 September 2012 London 27 & 28 September 2012 incisive-training.com/centralclearing School of Energy Risk Management London 25 27 September 2012 Houston 26 28 September 2012 incisive-training.com/schoolofenergy incisive-training.com/schoolofenergyusa Large and Catastrophic Loss Prevention: Systemic and Tail Risk Management New York 18 & 19 October 2012 Toronto 22 & 23 October 2012 London 5 & 6 November 20122 The Extraterritorial Application of Dodd-Frank Title VII London 24 October 2012 New York 29 October 2012 OIS derivative discounting: practical examples and future challenges New York 5 November 2012 London 7 November 2012 incisive-training.com/ois Market and Credit Risk Management for Energy portfolios London 13 & 14 November 2012 incisive-training.com/mcrm Liquidity Modelling London 12 & 13 November 2012 New York 19 & 20 November 2012 Toronto 22 & 23 November 2012

Pricing and Trading CVA Course time table London 21 22 November 2012 Day 1 London & New York 0830 Coffee and Registration 0900 Introduction to CVA Why is counterparty risk important? What is CVA to counterparty risk? Strict definition of CVA Approximations 1030 Morning break 1100 Basic methodologies to price CVA Monte Carlo simulations Advantages Disadvantages The four steps Risk Factor Evolution Pricing EPE calculation CVA integration Analytical calculations Standard models Interest rates FX Equity Credit Commodities 1230 Lunch 1330 Advanced methodologies to price CVA Modelling wrong way risk Specific wrong way risk Generic wrong way risk Advanced models Stochastic volatility Jump-diffusion processes Calculation of CVA sensitivities Risk Measures and CVA calibration What each of the options imply to my operation CVA, DVA and funding Collateral modelling 1500 Afternoon break 1530 Practical Examples Single trade examples Swaps Forwards Options Exotics Collateral vs. uncollateralised calculations Netting, aggregating and adding EPE profiles 1700 End of Day One Delivered by Ignacio Ruiz Founder, IRuiz Consulting and former Head Strategist for Counterparty Risk exposure measurement at Credit Suisse Day 2 London & New York 0830 Coffee and Registration 0900 Hedging CVA CVA as the price of a CCDS Types of hedging Risk management perspective Pricing perspective Dynamic hedging Most important sensitivities Frequency of hedging Managing liquidity Proxy hedging Hedging DVA 1-way vs. 1-way CVA hedging 1030 Morning break 1100 Practicalities of Trading Systems What is and isn t required from a CVA system? Data management Portfolio Market Data Static Data Collateral, margining, netting Internal vs. 3rd party vendor systems Which one is best for me? Parallel computing Optimising the speed of my calculations System scalability Managing Monte Carlo noise 1230 Lunch 1330 The impact of CVA in your organisation Where, when and how are counterparty credit risk and CVA calculations used in your organisation PFE and risk management EEPE and capital calculation EPE and CVA pricing How all of those interact Optimizing your corporate framework Regulatory impact: Basel II and Basel III CVA-VaR 1500 Afternoon break 1530 The past, present and future of CVA The history of CVA in financial institutions Current challenges in CVA desks and banks Where are CVA desks going? What is their future? Final discussion and questions 1700 End of course Delivered by Ignacio Ruiz Founder, IRuiz Consulting and former Head Strategist for Counterparty Risk exposure measurement at Credit Suisse

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