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Counterparty Credit and CVA

This workshop is available via the following modes of delivery:

  • In-house training: Make an in-house training enquiry to have this course delivered at your organisation
  • Expression of interest: Let AFMA know that you are interested in attending a public workshop in your city

PROGRAM: Counterparty Credit and CVA
TITLE: Counterparty Credit and CVA
CE: 6.5 hrs
FEE: Member - $935.00 including GST
Non Member - $1,166.00 including GST
available via in-house or
expression of interest


Banks have always faced challenges in how to effectively manage their credit risk. However when considering the credit impact from a derivative portfolio this becomes even more challenging as it gives rise to counterparty credit risk. Counterparty credit is significantly different in nature to regular credit risk as it intrudes a bi-lateral credit exposure. The management of this type of credit risk gives rise to the credit valuation adjustment (CVA).

This workshop examines the different credit exposure measures and looks at the different ways to calculate the probability of default. From this the participant will have the tools to be able to price CVA and DVA. The impact of collateralisation will also be considered, along with advanced topics such as wrong-way risk. 

Who is this for?

This workshop will be very useful for anyone who is interested in how counterparty credit is priced and the risk is managed.

What will you learn?

Upon completing this workshop you will be able to:

  • differentiate metrics used to describe counterparty credit exposure
  • compute EE (Expected exposure) and PFE (Potential Future Exposure)
  • describe the impact of collateralisation on exposure
  • calculate the probability of default from a CDS curve
  • outline other models that can be used when no CDS curve exists for an entity
  • price CVA, DVA and BCVA (Bi-lateral CVA)
  • discuss the Basel II and III capital rules as they apply to counterparty credit risk
  • describe the accounting requirements for CVA
  • describe how WWR (Wrong Way Risk) impacts on CVA
  • discuss the issues for hedging CVA.


Ben Watson, CEO, Maroon Analytics Australia

Ben Watson is the CEO of Maroon Analytics Australia, a Quantitative Analytics Consultancy that helps Banks and Financial institutions with any aspect of their quant requirements. Maroon has been helping its clients with some of the more complex issues that they face today, such as OIS discounting, FVA, CVA/DVA and quantitative impacts of regulation.  

Ben came to the Maroon business with 22+ years working for Investment Banks as a Quantitative Analyst. Up to 2012 he was the APAC regional head of the Quant function for RBS and before that the local head of Quant at ABN AMRO Australia.  He has a long track record of building real time pricing and risk management systems for traders and risk management teams. In 2012 he managed the successful OIS migration of a large derivatives trading book for a global bank. 


The presenter is very knowledgeable in the area

Very informative, Ben is very helpful and knowledgeable

This was a good knowledge building opportunity