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The xVA Challenge: Counterparty Credit 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 program, participants will examine the impact of accounting requirements (IFRS 13, FASB 157) on valuation adjustments and the IHS Markit Totem xVA consensus pricing. The program 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 Credit Risk, Funding, Collateral, and Capital" published by Wiley Finance.

The program is divided into three distinct topics, allowing participants to attend only the days that suit their requirements:

  • Day 1 - Basics and Counterparty Credit Risk
  • Day 2 - Credit and Funding (CVA/FVA)
  • Day 3 - Capital and Initial Margin (KVA/MVA)
Recommend to a Colleague
  • Date:
  •  4th -  6th November 2019
  • Venue:
  • Manhattan - New York
  • Fee:
  • US$1665 per day

This course is also available in London, Singapore, Frankfurt and Sydney

Who The Course is For

  • 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

Learning Objectives

  • 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

Prior Knowledge

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

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