CVA in Interest Rate & Foreign Exchange Management

For Interest Rate and Foreign Exchange Management staff

The financial crisis has sharpened the focus on counterparty risks, particularly with respect to derivative instruments used in IR & FX management. In this seminar for IR & FX staff, we examine the risks that processes within the bank (economic CVA) and compliance requirements (regulatory CVA) have made more difficult to calculate. The focus is also on creating and pricing IR & FX offerings, which has also become a far more complex task. Simple strategies such as payer swaps and forward exchange transactions are also discussed.