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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 (‘xVAs’) in pricing and valuation in relation to counterparty risk, collateral, funding, capital and initial margin. 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, FASB 157) 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, FRTB 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. Current hot topics – such as funding assumptions, return on capital and the treatment of initial margin – will be covered in detail.

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

  • Day 1 - Foundations
  • Day 2 - Advanced xVA - Credit, Funding and Capital
  • Day 3 - Advanced Clearing, Initial Margin and MVA
  • Date:
  • 12th - 14th November 2018
  • Venue:
  • Central London and remotely via LFS LiveLFS Live
  • Fee:
  • £1325 per day


  • 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 New York, Singapore, Hong Kong, Frankfurt, Sydney and Dubai

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

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Prior Knowledge

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

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