08/21(五)
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09:00~16:30
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1.The roll of collateral in the interbank and CCP trades, and OIS discounting -Cleared trades at Central Clearing Party (CCP) -Uncleared bilateral trades in the interbank market -Collateral models -OIS discounting -Variation margin (VM) and initial margin (IM) -Margin Regulation
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Dr. Katsumi Kevin Takada Diva Analytics Inc. Director
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臺北喜來登大飯店福廳(B2) 台北市忠孝東路一段12號
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08/22(六)
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09:00~16:30
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2.Counterparty risk and CVA -Unilateral CVA -Bilateral CVA (CVA + DVA) -CVA Calculation -CVA Examples (options, Interest rate swaps and cross-currency swaps) -CVA Accounting
3.Funding Risk and FVA -Funding cost -Funding benefit -FVA Calculation
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Dr. Katsumi Kevin Takada Diva Analytics Inc. Director
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臺北喜來登大飯店月星廳(B2) 台北市忠孝東路一段12號
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