JW Marriott Santa Fe Hotel
June 20 | 10:00 am - 6:00 pm June 21 | 10:00 am - 6:00 pm
GIOVANNI NEGRETE
TRADER CVA-XVA SANTANDER GLOBAL BANKING Giovanni Negrete is currently responsible of the xVA desk (Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA) and Liquidity Valuation Adjustment (LVA)) in Banco Santander Mexico. Previously, he was in the same desk at Santander Global in the Madrid office. Before Santander, he was Senior Trader of the Exotic Options Trading books in Banesto. Giovanni holds a Ph.D. in Applied Statistics to Economics from the UNED in Spain, he holds a Master`s degree in Quantitative Finance from the Escuela de Analistas Financieros Internacionales (AFI) and a Master`s degree in Economic Analysis and Financial Economics from the Universidad Complutense in Madrid.
PROGRAM:
COURSE DESCRIPTION: From the financial crisis of 2007-2008, originated by the Lehman Brothers effect, the financial derivatives management turn around importantly when the trading desks realized that the valuation models they had used until then were deficient, because they didn`t incorporate liquidity and credit adjustments. Though, this has been reflected, in fact, in new accounting standards (IFRS13) and inclusive in a new banking regulation regarding the required capital impact to credit entities (Basel III).
2.1. The need to implement the CVA and FVA (Funding Adjustment Valuation) desks. 2.1.1. Portfolios for replication. 2.1.2. The 2007-2008 crisis. 2.2. The CVA birth and evolution. 2.3. Market Risk versus Credit Risks
This course is a quantitative introduction to this valuation adjustments, to its pricing (CVA and DVA), the open debate about XVA and the management of these risks from the xVA desk point of view. All the theoretical and practical aspects of the CVA, DVA and FVA estimation will be addressed. A review will be performed of the main quantitative tools necessary for the analysis of these valuation adjustments, developing practical examples for the implementation of the various metrics usually used. This course is aimed to Professionals of Bank Treasuries, Front office, monitoring areas, risk management and treasuries of large corporations.
3.1. Expected exposures. 3.2. LGD (Loss Given Default) and Recovery. 3.3. Probability of Default.
1. INTRODUCTION. 1.1. Single price in the OTC derivatives. 1.2. Concepts and definitions. 1.3. Market risk, counterparty risks and credit risk. 2. STARTING POINT.
3. CVA Components.
PRICE: $25,000.00 Mexican Pesos + Tax (16%) Duration: 16 hours (2 Sessions) Venue: JW Marriott Santa Fe Hotel,
Avenida Santa Fe 160 Col. La Fe Santa Fe, CDMX.
REQUIREMENTS • Graduated from an economic and/or administrative career. • Preferably working in Financial Institutions. • Participants should bring a laptop.
PAYMENT METHODS: 1. Bank Transfer in US Dollars (Foreign Institutions) BANK: BBVA Bancomer BRANCH NUMBER: 0956 SWIFT: BCMRMXMM BENEFICIARY: RiskMathics, S.C. ACCOUNT NUMBER: 0121 8000 11 0583 0066 2. Credit Card: VISA, MASTERCARD or AMERICAN EXPRESS. IMPORTANT NOTICE: There will be no reimbursements.
Registration E-mail: [email protected] Teléfonos: +52 (55) 7590 7305 y +52 (55) 5669 4729
WWW.RISKMATHICS.COM
GIOVANNI NEGRETE
TRADER CVA-XVA SANTANDER GLOBAL BANKING Giovanni Negrete is currently responsible of the xVA desk (Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA) and Liquidity Valuation Adjustment (LVA)) in Banco Santander Mexico. Previously, he was in the same desk at Santander Global in the Madrid office. Before Santander, he was Senior Trader of the Exotic Options Trading books in Banesto. Giovanni holds a Ph.D. in Applied Statistics to Economics from the UNED in Spain, he holds a Master`s degree in Quantitative Finance from the Escuela de Analistas Financieros Internacionales (AFI) and a Master`s degree in Economic Analysis and Financial Economics from the Universidad Complutense in Madrid.
PROGRAM:
COURSE DESCRIPTION: From the financial crisis of 2007-2008, originated by the Lehman Brothers effect, the financial derivatives management turn around importantly when the trading desks realized that the valuation models they had used until then were deficient, because they didn`t incorporate liquidity and credit adjustments. Though, this has been reflected, in fact, in new accounting standards (IFRS13) and inclusive in a new banking regulation regarding the required capital impact to credit entities (Basel III).
2.1. The need to implement the CVA and FVA (Funding Adjustment Valuation) desks. 2.1.1. Portfolios for replication. 2.1.2. The 2007-2008 crisis. 2.2. The CVA birth and evolution. 2.3. Market Risk versus Credit Risks
This course is a quantitative introduction to this valuation adjustments, to its pricing (CVA and DVA), the open debate about XVA and the management of these risks from the xVA desk point of view. All the theoretical and practical aspects of the CVA, DVA and FVA estimation will be addressed. A review will be performed of the main quantitative tools necessary for the analysis of these valuation adjustments, developing practical examples for the implementation of the various metrics usually used. This course is aimed to Professionals of Bank Treasuries, Front office, monitoring areas, risk management and treasuries of large corporations.
3.1. Expected exposures. 3.2. LGD (Loss Given Default) and Recovery. 3.3. Probability of Default.
1. INTRODUCTION. 1.1. Single price in the OTC derivatives. 1.2. Concepts and definitions. 1.3. Market risk, counterparty risks and credit risk. 2. STARTING POINT.
3. CVA Components.
PRICE: $25,000.00 Mexican Pesos + Tax (16%) Duration: 16 hours (2 Sessions) Venue: JW Marriott Santa Fe Hotel,
Avenida Santa Fe 160 Col. La Fe Santa Fe, CDMX.
REQUIREMENTS • Graduated from an economic and/or administrative career. • Preferably working in Financial Institutions. • Participants should bring a laptop.
PAYMENT METHODS: 1. Bank Transfer in US Dollars (Foreign Institutions) BANK: BBVA Bancomer BRANCH NUMBER: 0956 SWIFT: BCMRMXMM BENEFICIARY: RiskMathics, S.C. ACCOUNT NUMBER: 0121 8000 11 0583 0066 2. Credit Card: VISA, MASTERCARD or AMERICAN EXPRESS. IMPORTANT NOTICE: There will be no reimbursements.
Registration E-mail: [email protected] Teléfonos: +52 (55) 7590 7305 y +52 (55) 5669 4729
WWW.RISKMATHICS.COM
