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

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 – 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, will also be covered.

xVA implementation and hedging will be discussed in detail, 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 – are also 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 Dr Jon Gregory's book "The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital" published by Wiley Finance.

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

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

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

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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