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Description

Credit Valuation Adjustment (CVA): Calculation, Hedging and Management

Turn counterparty default risk into a price and defend the number in front of the risk function

  • 2 days — 14 h
  • In-person or virtual
  • Expert
  • Up to 6 participants

CVA is produced by an engine that very few people can actually explain. Business lines challenge the internal charge, the front office challenges the sensitivities, and differences between two valuations of the same portfolio remain unexplained. Collateral agreements and netting arrangements are poorly captured, which distorts the exposure measure.

This short-format programme covers the full chain. Participants build an exposure profile, connect default probability with recovery rate, analyse the effect of netting and collateral, then examine hedging strategies and the way CVA feeds into the profit and loss account.

Learning objectives

  • Build a future exposure profile on a derivatives portfolio
  • Connect implied default probability and recovery rate to the CVA calculation
  • Measure the effect of netting agreements and collateral on exposure
  • Interpret CVA sensitivities and identify weaknesses in the calculation
  • Assess a hedging strategy and the way it feeds into the profit and loss account

What makes this programme different

The same portfolio is recalculated with and without a collateral agreement to evidence the gap
Sensitivities are analysed to understand what moves the number day to day
Recharging to business lines is addressed as an internal negotiation matter

Programme

1Foundations of CVA and Counterparty Risk

Positioning the adjustment within valuation

  • Future exposure and how to read a derivatives exposure profile
  • Link between market value and possible counterparty default
  • Where CVA sits among the other valuation adjustments
  • Effect of netting agreements and margin calls on exposure

2Modelling and Calculation

Producing a defensible number

  • Path simulation and construction of exposure profiles
  • Implied default probabilities and recovery assumptions
  • Treatment of netted portfolios and collateral thresholds
  • CVA sensitivities and reading the associated greeks
  • Consistency checks and weak points in the assumptions

3Hedging and Management

From calculation to decision

  • Setting up a dedicated desk and recharging to business lines
  • Hedging credit risk and the underlying market risk
  • Dialogue with the risk and finance functions on assumptions
  • Reporting CVA in the profit and loss account and in periodic reporting

Who is it for

Counterparty risk analysts as well as quantitative analysts, valuation specialists, risk controllers and desk heads exposed to derivatives.

Prerequisites

Sound command of derivative products and market valuation techniques.

Dates & locations

36 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.