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XVA Modelling and Computation

This advanced three-day course gives attendees the tools to understand, implement and manage XVA’s.

The programme starts by describing pricing under CSA and multicurve; followed by building a modelling framework for implementing an efficient XVA platform. It covers CVA/DVA, Funding and Capital adjustments - from modelling and regulatory aspects to accounting choices, through to market best-practice and cutting-edge issues - with both detailed break-down and global aggregation.

Sections are devoted to Initial Margin, Collateral Currency options and other adjustments and mitigations. It concludes by describing hedging under both a strategic and an implementation point of view.

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  • Date:
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  • Venue:
  • Central London
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Who The Course is For
  • Quants/ Financial Engineers
  • Traders, Risk Managers
  • Structurers
  • Sales People
  • Strategists, Researchers

The course is also suitable for Regulators and Academics who want to get real knowledge of market practice and modelling issues in the field of XVAs.

Prior Knowledge
  • The foundations of derivatives pricing
  • Basic statistics and numerical methods (Monte Carlo)
  • A basic understanding of Counterparty Risk and xVA's (covered in The XVA Challenge programme)

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