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The xVA Challenge: Counterparty Risk, Collateral, Funding, Capital, Initial Margin and Central Clearing

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, 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) on valuation adjustments; as well as addressing regulatory capital rules in detail - with the impact of the CVA capital charge and future changes such as SA-CCR, SA-CVA and the leverage ratio. Funding, including the impact of the LCR and NSFR liquidity requirements for banks, is comprehensively discussed. The future impact of initial margin via mandatory central clearing and the bilateral margin rules are assessed in detail. Initial margin methodologies at CCPs and in bilateral markets (SIMM) are also described.

Particular attention is 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.

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.

  • Date:
  • 18th - 20th July 2018
  • Venue:
  • Cliftons Singapore - The Finexis Building
  • Fee:
  • US$1595 per day

  • This course is FTS-Eligible* and also eligible for 24 CPD hours. GARP & CFA Institute members are eligible for 24 CE/CPD credits. See details
  • 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, Hong Kong, Frankfurt, Sydney, Stockholm and Dubai

Who The Course is For

  • Banks, end-users of derivatives, regulators, and third parties
  • Derivatives traders, structurers and salespeople
  • Treasury departments
  • Risk managers (market and credit)
  • IT, product control, legal, and operations
  • Quantitative researchers
  • Portfolio managers
  • Operations / Collateral management

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Prior Knowledge

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

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*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 for more information.