Valuation Adjustments: The XVA Challenge
This course explains and describes the valuation adjustments (‘xVAs’) in pricing and valuation in relation to counterparty credit risk, collateral, funding, capital and initial margin. The concepts are built up sequentially and workshops are used to develop the key ideas including simulation of exposure, the impact of risk mitigants, collateral effects, regulation and the resulting calculation of CVA, DVA, FVA, ColVA, KVA and MVA.
During the programme, participants will examine the impact of accounting requirements (IFRS 13, FASB 157) on valuation adjustments and the IHS Markit Totem xVA consensus pricing. The programme will also address regulatory capital rules in detail – with the impact of the CVA capital charge and future changes such as SA-CCR, SA-CVA, FRTB and the leverage ratio. Funding, including the impact of the LCR and NSFR liquidity requirements for banks, is comprehensively discussed. The impact of initial margin via mandatory central clearing and the uncleared margin rules (UMR) are fully assessed. Initial margin methodologies at CCPs and in bilateral markets (SIMM) are also described.
The portfolio nature of xVA and links between different terms is considered in detail. xVA implementation and hedging will also be discussed, with particular attention being paid to current market approaches and best practice – areas where a clear consensus has not yet emerged or where there may be changes in the future will be highlighted and discussed. Current hot topics – such as funding assumptions, return on capital and the treatment of initial margin – will also be explored.
Participants will be able to take away all worked examples and additional exercises and models implemented using Excel functions and macros. They will also receive the latest edition of Jon's book "The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin" published by Wiley Finance.
The programme is divided into three distinct topics:
- Basics and Counterparty Credit Risk
- Credit and Funding (CVA/FVA)
- Capital and Initial Margin (KVA/MVA)
- Date:
- Please contact us
- Venue:
- Cliftons Singapore - The Finexis Building
- Fee:
This course is also available in London Time Zone and New York Time Zone
This course is FTS-Eligible* and also eligible for CPD hours. GARP & CFA Institute members are eligible for CE/CPD credits. See details
- Banks, end-users of derivatives, regulators, consultants, software providers and other third parties
- xVA desks
- Derivatives traders, structurers and salespeople
- Treasury and Finance departments
- Regulatory capital and reporting
- Risk managers (market and credit)
- IT, product control and legal
- Quantitative researchers
- Portfolio managers
- Operations / Collateral management
- Gain familiarity with all the different valuation adjustments, their foundations and how they interact with each other
- Learn how to calculate each xVA through real-world, practical examples
- Analyze the impact of regulation and accounting requirements
- Gain understanding of current best market practice and cutting-edge developments
- Numerate background (basic)
- Knowledge of derivatives products
- Basic knowledge of Microsoft Excel
*FTS Eligible
This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is
eligible for FTS claims subject to all eligibility criteria being met. Please note that in no way does
this represent an endorsement of the quality of the training provider and programme. Participants are
advised to assess the suitability of the programme and its relevance to participants' business activities
or job roles. The FTS is available to eligible entities, at a 50% funding level of programme fees subject
to all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme
Directory with the specified validity period. Please refer to www.ibf.org.sg for more information.
Dr Jon Gregory is an independent expert specializing in counterparty risk and xVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is also a senior advisor at Solum Financial Derivatives Advisory.
Jon is author of the books “The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin” (now in its fourth edition) and “Central Counterparties: The Impact of Mandatory Clearing and Bilateral Margin Requirements on OTC Derivatives”, both published by Wiley Finance.
Jon holds a PhD from Cambridge University.
Wiley Finance Published Author.
Request a Brochure with full details for Valuation Adjustments: The XVA Challenge
Basics and CCR
Introduction
- Overview and historical background
- The impact of regulation and accounting
- The importance of capital and funding costs
- What is xVA?
Counterparty credit risk
- Credit exposure
- Credit limits and PFE
- EFV, EPE and ENE
- Incremental and marginal exposure
Example: PFE example
Mitigating Counterparty Risk
- Netting and compression
- Resets and ATEs
- Collateral
- Initial margin
- Central counterparties
Example: Compression example
Collateral, Exposure and CVA
Collateral and discounting
- Variation margin and collateral discounting
- Cheapest-to-deliver valuation
- Discounting to ColVA
- Funding and discounting
Example: ColVA calculation
Exposure simulation
- Challenges of exposure simulation
- Models and calibration for each asset class
- Proxies and correlations
- Implementation with Monte Carlo
- Modelling resets and collateral
Example: FX forward and IRS simulation
CVA and DVA
- Proxy spread approaches
- CVA formulas
- Impact of collateral on CVA
- Wrong-way risk
- Bilateral CVA
Example: CVA/DVA calculation
Funding and Capital
Funding and FVA
- NSFR and LCR and IBOR replacement
- FVA formula and link to discounting approach
- Capturing one-way CSAs
- CVA/DVA/FVA framework
- Asymmetric FVA
Example: FVA calculation
Managing and Hedging xVA
- Bank approaches to hedging xVA
- xVA greeks
- Hedging instruments
- P&L explained
- Proxy hedging
Example: xVA hedging simulations
Regulatory capital requirements
- Counterparty risk capital requirements
- Cleared vs. non cleared capital requirements
- Review of capital methodologies
- SA-CCR
- The leverage ratio
Example: SA-CCR vs. IMM
KVA and Initial Margin
Capital and KVA
- Return on capital in banks
- Capital value adjustment (KVA)
- KVA management strategies
- Initial margin in SA-CCR and IMM approaches
- FRTB and BA-CVA / SA-CVA
Example: KVA calculation
Initial Margin and MVA
- Bilateral margin rules
- CCP initial margin methodologies
- The ISDA SIMM™
- MVA
- Initial margin optimisation
Example: SIMM and MVA calculations
Recap and advanced topics
- Overlaps and portfolio effects
- xVA examples under different CSAs
- xVA optimisation
- Wrong-way risk
- Asymmetric FVA
- Approach to capital and KVA
I like the very well balanced relation of theory and their practical applications.
(Executive Director - Raiffeisen Bank International)
During the xVA Challenge course, I could strongly feel that the tutor has a wealth of experience and is up to date with the edge of the development in counterparty risk. He shared his knowledge and current trend analysis in the industry, so we were introduced to many cases, which helped us to understand the adjustment process more intuitively.
(- - BNP Paribas)
Great training by a great, very knowledgeable teacher!
(Financial Risk Manager - ING Bank NV)
I strongly recommend the course "The xVA Challenge: Counterparty Credit Risk, Collateral, Funding and Capital" to all those financial pratictioners who wants to gain a deep understanding the xVA components and enhance their skills in market and credit risk.
(Risk Specialist - Kommuninvest i Sverige AB)
Very interesting and in-depth course on several relevant aspects of xVA
(Senior Associate - Rabobank)
The xVA challenge training held by Mr Jon Gregory [teacher] can be considered a mandatory step in the skill development of whoever wants to really understand derivatives management.
(Expert - Bank of Italy)
The xVA course given by Dr. Jon Gregory is a must for anyone who is active in the financial markets. The materials are world class and the delivery and interaction bring it to a new level. It exceeded all of my expectations.
(Managing Partner - Lucas and Associates)
Before attending this course I have already benefited a lot from reading Dr Gregory's book. During the course, Dr Gregory gave detailed elaboration on all the concepts, which greatly strengthened my understanding. This is the best course I have attended during the recent 10 years.
(Executive Director - DBS Bank Ltd)
Concise but packed with information, yet not overwhelming. Excellent course to gain an overview of xVA and its related concepts!
(Analyst - DBS Bank)
The course gave me a better insight in the world of xVA and the tools needed for practical application.
(Trader - Dutch State Treasury Agency)
London Financial Studies' XVA Challenge is ideal for anyone that requires knowledge on CVA, FVA and KVA and gives more insight into central clearing and initial margin. It was an overall pleasant learning experience.
(IT Quantitative Business Analyst - Rand Merchant Bank)
The level of the subject matter covered in this course far exceeded my expectations. The spreadsheets were impressive and provided the right touch of practical application to tie back to the theory that was covered.
(Quantitative Analyst - Barclays Africa Group Limited)
Concise yet comprehensive presentation of complex concepts and requirements with reference to xVA calculations
(Business Analyst - Rand Merchant Bank - a dividionn of FirstRand)
The course covers all the most relevant topics and is well designed and comprehensive. Jon is one of the best in the counterparty risk field and is also one of the best teachers I've had. It was hugely helpful for what I do and I enjoyed learning from him!
(Bank Examiner - Risk Specialist - Office of the Comptroller of the Currency)
The course was excellent, and Jon was the most knowledgeable teacher I ever had on a financial markets topic.
(Market Risk Manager - Credit Agricole CIB)
This was an excellent course. Jon is a true expert in the field of xVA, and he coherently delivers practical insights about xVA best practice and future challenges.
(Risk Analyst - Reserve Bank of New Zealand)
Excellent course with lots of Excel models. My expectation was high but the course came above my expectation. Highly recommend for those engaged in Derivatives business, whether it be Risk, Traders, Sales or Technology.
(Director - ING Bank N.V.)
The best xVA course in the market.
(Associate Director - RBC)
The course was very enlightening. Jon was an excellent teacher and a foremost expert on xVA.
(Equity Analyst - Financial Insights)
Excellent course, great teacher. Well done, LFS!
(Financial Engineer - European Investment Bank)
Good course, very useful.
(Market and Liquidity Risk - Lloyds Banking Group)
Great course. The teacher makes xVA accessible even though the topic is fairly complex. It gives a very good overview of the xVA world in terms of history/developments and economic relevance.
(Director - Mizhuho International)
Great speaker, state of the art course.
(Vice President - KFW Bankengruppe)
Very insightful and thorough for a 2-day course.
(Market Risk Manager - Lloyds Banking Group)
Training was packed with practical applications and entertaining at the same time. Course leader is very knowledgeable in the subject matter. Would highly recommend London Financial Studies.
(Director - Quantitative - First Abu Dhabi Bank)
This is my 3rd course at LFS and again I have not been disappointed. The course as well as the organization were perfect.
(Senior Software Engineer - Commerzbank AG)
Jon Gregory proved to be highly competent in the teaching field and well experienced in both teaching itself and conveying his idea of the course topics to the audience.
(Associate - Commerzbank)
A "go-to" course for an understanding of xVA.
(Manager - OCBC)
The course provided a very good overview of all XVA components and their coherence. There was also a focus on new developments. Both the documentation and presentation were very good. I have recommended it to my colleagues.
(Product Controller - Rabobank)
Amazing course by Jon Gregory. Full of very good examples and clear explanations.
(Senior Manager - IBM Risk Analytics)
"The xVA course by London Financial Studies has covered all relevant topics of today's derivative valuation. Jon Gregory provided an excellent insight into recent developments and links theoretical knowledge with the current and future regulatory landscape."
(Rates Trading - Commerzbank AG)
Great overview of main topics that will challenge bank's derivatives business in the next years
(Treasury - Banca IMI)
The course exceeded my expectations, all topics were treated in a deep way, with a real world application perspective. Additionally, the professor was very didactic and showed a deep knowledge in the subjects discussed.
(Treasury Products Manager - Itau BBA)
"Jon Gregory is an excellent presenter and the course had the right amount of mathematical rigor and practical follow up. He covered all topics per the course outline following a very strict timeline such that content was allocated adequate time proportional to its complexity. Hands on spreadsheets and examples were sprinkled throughout the course so I could connect to the topics though they are not part of my day-to-day work. One of the best financial maths courses I took - ever."
(Senior Risk Analyst - PNC)
"Jon's course is one of the most practical courses I have attended in the area of Credit Exposure, CVA and capital."
(Markets Risk - Anz Banking Corporation)
"[...] (helpful) especially on credit exposure, CVA and funding. The overview of CCPs is also very relevant to my line of work. Would like to attend Dr Jon Gregory's future courses again. LFS did a marvelous job in organizing this event. I would definitely recommended my colleagues to attend courses here."
(Middle Office Operations - BIA)
"(The CVA course) covers all what we've been looking for. From the PFE,EE,EPE to Basel 3 requirements, clearing counterparties and credit risk management and valuations.The tutor provides us with his model where we can play around with and familiarize with the specific models which indeed helped me a lot in understanding the course.It was a great experience. Thank you LFS for arranging such training!"
(Middle Office Operations - BIA)
"The Counterparty Credit Risk course delivers real-world and in-depth insight in the different evolutions in this field."
(Managing Director - Belfius Bank)
"Great eye opening experience. Best course ever!"
(Senior Quantitative Analyst - Global Investment Bank)
"Great course. The content really dissected the counterparty risk aspects of trading and all of the relevant pieces that can impact CVA. Well done and I'd definitely recommend it to my colleagues."
(Business Development - Financial Software Firm)
About the teacher's Counterparty Credit Risk new book: "Congratulations to Jon Gregory. This is a very readable book about an area that has become increasingly important to all financial institutions."
(Professor - University of Toronto, Canada)
"Extremely helpful training for the individuals who would like to gain a better understanding about risk and collateral management."
(Assistant Manager - Rabobank International)
Course Details
This course is also available in London Time Zone and New York Time Zone
- To run this course at your organisation, contact us.
Call now for more information on this course or to book:
Asia Pacific +65 3159 3707
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London Financial Studies is registered with GARP as an Approved Provider of Continuing Professional Development (CPD) credits.