Financial and Actuarial Mathematics


Obligatorische Weiterbildung für Aktuare (CPD) 105.666 Applied Counterparty Credit Risk Management (ca. 20 CPDPunkte)(Veranstaltung in englischer Sprache) Kostenpflichtig (EUR 240), Anmeldung erforderlich (fam@fam.tuwien.ac.at) Vortragende: Mario Schlener, MBA M.A., KBS Capital Partners AG, Baar, CH Lehrziele / Lehrinhalte:  Students shall understand and be able to apply the learned tools in real life examples from the financial industry and capital markets  Students will learn a hands on understanding of real world examples of how counterparty credit risk is managed and measured  After this course students will have discussed the following main points:  How to calculate counterparty exposure for derivative portfolio  How to calculate Credit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)  What is Funding Value Adjustment (FVA)  How the Financial Industry manages and hedges counterparty credit risk (i.e. difference between a Risk Management and Trading Approach)  How to define a hedging strategy for a sample portfolio to reduce risk for a sample bank  How to apply a multicurve discounting approach compared to a single curve discounting approach  What is a CSA and ISDA contract and how are these contracts negotiated and applied in a financial transaction  What is a close out valuation  How can a portfolio be hedged applying a standardized riskoff/VaR analysis  How does the regulation of a Central Counterparty change the financial markets and the daytoday business of trading activities of financial institutions In this course the students will learn how counterparty credit risk: 1. changed the financial markets 2. changed the way risk management departments of global financial institutions manage risk and 3. how financial institutions measure and hedge counterparty credit risk Termine: Details siehe Vorlesungsverzeichnis / TISS 

(screen version) 
© by Financial and Actuarial Mathematics, TU Vienna, 20022019 https://fam.tuwien.ac.at/events/cpd/20140313.php Last modification: 20140512 Imprint / Impressum — Privacy policy of TU Wien / Datenschutzerklärung der TU Wien 