Financial and Actuarial Mathematics
TU Wien, Austria

Obligatorische Weiterbildung für Aktuare (CPD)

105.666 Applied Counterparty Credit Risk Management (ca. 20 CPD-Punkte)

(Veranstaltung in englischer Sprache)
Kostenpflichtig (EUR 240), Anmeldung erforderlich (fam@fam.tuwien.ac.at)

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
  - 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- 
  - How to define a hedging strategy for a sample portfolio to reduce
    risk for a sample bank
  - How to apply a multi-curve 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 risk-off/VaR
  - How does the regulation of a Central Counterparty change the
    financial markets and the day-to-day 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

Details siehe Vorlesungsverzeichnis / TISS

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