Counterparty Credit Risk
From C to X: 10 years of Valuation Adjustments

The Counterparty Credit Risk program will provide crucial knowledge on understanding the role of counterparty credit risk in a company's risk performance. It covers multiple dimensions from banking issues, regulatory issues, accounting issues to derivatives valuation and trading issues.

The objectives of the program are five-fold:

1) to cover the triggers of the XVA revolution;
2) to discuss the risks captured by the XVAs;
3) to present an in-depth discussion of the most important VAs and their interaction;
4) to show their impact on the pricing of derivatives;  and
5) to conclude on the challenges facing the XVA revolution. 

How you will benefit

  • Understand the impact of the global financial crisis on markets and on counterparty credit risk
  • Gain an understanding of the key drivers of XVA, namely expected exposures and credit/default risk
  • Gain a solid understanding of CVA, DVA and FVA, and an understanding of the controversies regarding DVA and FVA
  • Grasp why the mitigation of counterparty risk has generated new risks and additional costs for banks
  • Understand the trade-offs between the different value adjustments (CVA, DVA, FVA, MVA, COLVA, and KVA).



Counterparty Credit Risk and Counterparty Credit Risk Mitigants

1) To discuss the key differences between credit risk and counterparty credit risk (CCR) for OTC derivatives;
2) To discuss how counterparty credit risk can be mitigated 
  • Introduction: the XVA revolution (2006-2016)
  • OTC derivatives markets
  • OTC derivatives products: forwards, swaps, options
  • Counterparty risk vs. credit risk
  • Counterparty risk mitigants
    - Netting
    - Margins: VM and IM
    - CSA, types and close-out
    - Other mitigants

Key Drivers of Counterparty Credit Risk

1) To discuss the key drivers of counterparty credit risk;
2) To discuss the triggers of the XVA revolution

  • The key drivers of XVA
    - Exposures
    - Default probabilities
    - WWR
  • The XVA triggers
    - The accounting framework (2006-2013)
    - The global financial crisis
    - The regulation: Basel III

XVA and its Components

1) To gain a solid understanding of the different components of XVA;
2) To discuss the controversies regarding DVA and FVA

  • Illustration of XVA using a simple example
  • CVA (Credit Value Adjustment)
  • BCVA (Debit Value Adjustment)
  • FVA (Funding Value Adjustment)
  • The DVA and FVA Controversies

Case Study: “XVA at JP Morgan”

Additional Components of XVA and Trade-Offs

1) To discuss additional components of XVA;
2) To cover the trade-offs between the different value adjustments

  • COLVA (Collateral Value Adjustment)
  • MVA (Margin Value Adjustment)
  • KVA (Capital Value Adjustment)
  • XVA Optimization
  • Conclusion: the Law of One Price 
Who should attend

The Counterparty Credit Risk program is not a quantitative course on the pricing of derivatives. The program requires basic knowledge about derivatives and is mostly non-technical. It is useful for financial market participants who interact with derivatives as bankers (supervisory role and risk managers), regulators, accountants, financial industry consultants, and the end-users of derivatives (asset managers, pension funds, corporates, sovereigns…).  The program is not designed for “quants.”

Pierre Hillion 

Pierre Hillion is the de Picciotto Chair at INSEAD in Alternative Investments and Visiting Professor at UCLA and CalTech. He received his MBA from Ecole HEC, holds a DEA from the Université Paris-Dauphine and a PhD from the University of California in Los Angeles (UCLA). 

Pierre's research interests lie in the areas of empirical tests of asset pricing models, options pricing models and empirical corporate finance. 


CFA Institute - CE credit hours
Amsterdam Institute of Finance is registered with CFA Institute as an Approved Provider of continuing education programs. This program is eligible for 12 CE credit hours as granted by CFA Institute. If you are a CFA Institute member, CE credit for your attendance at this event will be automatically recorded in your CE Diary.

Dates & fees
6 - 7 November 2017 € 2,500

Program fee includes all study materials, books and software that are required for the program as well as daily luncheons.
Program fee is exempt from VAT for clients located in the Netherlands. For other EU and Non-EU clients, VAT may be due by client and will not be charged by AIF. Fees may be subject to change.

 NEW PROGRAM - Participant testimonials not yet available

Tentatively reserve a place Enroll now