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VALUATION ADJUSTEMENTS (xVAs)
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I - Environment 

  • Counterparty risk

  • Value adjustments

  • Transaction costs on the derivatives

  • Collateralization

  • Clearinghouse

  • Impact of the collateralization on the discount factor

II - Methods to calculate x min

  • 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

  • Fair value

  • Accounting provision

  • Documentation of value adjustments

  • Retrocession

IV - Questions and discussion
 

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

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