I - Environment 

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• Counterparty risk

• Value adjustments

• Transaction costs on the derivatives

• Collateralization

• Clearinghouse

• Impact of the collateralization on the discount factor

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II - Methods to calculate x min

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• Credit and debt value adjustment

• Bilateral Cva

• From Mark-to-market to exposure

• Portfolio effect

• Credit default swap

• Probability of default

• Impact of the level of funding

• Impact of mandatory break clause on the cva

• Funding value adjustment on the cva

• Capital value adjustment - kva

• Summary

 

III - Triggers

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• Fair value

• Accounting provision

• Documentation of value adjustments

• Retrocession

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IV - Questions and discussion​
 

Note that each training session will include a MCQ to validate the knowledge acquired.

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