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Description

Credit Valuation Adjustment (CVA): Calculating, Hedging and Managing Counterparty Risk

Measure the counterparty risk valuation adjustment and embed it in derivatives management

  • 0.43 days — 3 h
  • In-person or virtual
  • Intermediate
  • Up to 6 participants

The price of an over-the-counter derivative is not limited to its market value. The possible default of the counterparty carries a cost, reflected in an adjustment that weighs on both earnings and capital. Market teams and control functions often struggle to share a common reading of this amount and of the way it moves.

This three-hour workshop breaks down the calculation of the Credit Valuation Adjustment and its practical uses. Participants build the exposure and default probability components, measure the effect of netting agreements and margin calls, and then position CVA within pricing and hedging decisions.

Learning objectives

  • Explain the economic rationale for the counterparty risk valuation adjustment
  • Identify the components of the CVA calculation
  • Measure the effect of netting agreements and collateral received
  • Embed CVA in the pricing of a transaction
  • Describe how CVA is hedged and monitored

What makes this programme different

The calculation is broken down into components that each participant rebuilds
The effect of margin calls is illustrated on one and the same transaction
CVA is linked both to client pricing and to risk management

Programme

1Counterparty risk on derivatives

Why a valuation adjustment is needed

  • Nature of counterparty risk on over-the-counter transactions
  • Current exposure and potential future exposure
  • The concept of a valuation adjustment and its effect on earnings
  • Where CVA sits among other valuation adjustments

2Building the calculation

Exposure, default and recovery

  • Expected exposure profile over time
  • Probability of default derived from market data
  • Recovery rate and discounting of cash flows
  • Effect of netting agreements and margin calls

3Using CVA day to day

Pricing, hedging and reporting

  • Embedding CVA in the price quoted to the client
  • Monitoring movements and explaining the result
  • Instruments used to hedge counterparty risk
  • Division of roles between market teams and control functions

Who is it for

Market analysts, risk controllers and finance managers involved in over-the-counter derivatives.

Prerequisites

Familiarity with derivative products and market valuation principles.

Dates & locations

12 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.