DAY 2 - Thursday, 2nd September 2010

• Credit Value Adjustment (CVA) and the price of counterparty risk
• Contract level vs. counterparty level
• CVA and risk neutral expected exposure
• Simulating risk neutral exposure
• Pricing new trades with a counterparty

Dr Jon Gregory, Counterparty Risk Consultant, OF TRAINING

10.30 Morning break

11.00 Managing wrong way risk

• General and specific wrong way risk
• Wrong way exposure
• Modelling wrong way risk
• Effective measures to deal with wrong way risk

Dr Jon Gregory, Counterparty Risk Consultant, OF TRAINING

12.30 Lunch

13.30 Managing CVA in a bank/hedging counterparty risk

• Hedging jump to default risk with CDS
• Hedging CVA against changes in the market factors
• Static hedging using contingent CDS
• Risk return under a hedge framework

Dr Jon Gregory, Counterparty Risk Consultant, OF TRAINING

15.00 Afternoon break

15.30 Development of central counterparties

• What are central counterparties?
• How do they interact with exchanges?
• How do they mitigate counterparty credit risk?
• Stress testing the central counterparty model: the Lehman default
• Pig on pork: central counterparty clearing of credit default swaps

Andrew White, General Manager, Risk Operations, ASX

17.00 End of course