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The xVA Challenge: Counterparty Risk, Collateral, Funding and Capital

This course explains and describes the valuation adjustments in derivatives pricing in relation to counterparty risk, collateral, funding and capital components. The ideas are built up sequentially and workshops are used to develop the key ideas including simulation of exposure, the impact of risk mitigants and calculation of CVA, DVA, FVA, ColVA, KVA and MVA.

Particular attention is paid to current market practice and the future impact of regulatory changes such as Basel III, mandatory clearing and bilateral margining mandates.

Participants will be able to take away all worked examples and additional exercises and models implemented using Excel functions and macros.

All delegates receive the latest edition of Dr Jon Gregory's book "The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital" published by Wiley Finance.

  • Date:
  • Please contact us
  • Venue:
  • Frankfurt
  • Fee:


  • You might be eligible for preferential rates. Please contact us to check if your company is a member of the LFS Global Client Programme.

This course is also available in London, New York, Singapore, Hong Kong, Sydney and Dubai

Who The Course is For

  • Credit traders, Derivatives traders and marketers
  • Risk managers and credit risk practitioners
  • Structurers
  • IT, Middle office
  • Senior management, Quantitative researchers
  • Product control, Portfolio managers
  • Operations / Collateral management

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Prior Knowledge

  • Numerate background (basic)
  • Knowledge of derivatives products
  • Basic knowledge of Microsoft Excel

Learning Objectives

  • Gain understanding of the various valuation adjustments and their importance
  • Analyse the importance of regulation on the emergence of xVA
  • Gain familiarity with the practical use of valuation adjustments
  • Learn how to calculate each xVA term using practical examples
  • Acquire knowledge of the latest academic thinking regarding xVA and its influence on market practice

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