The xVA Challenge: Counterparty Risk, Collateral, Funding and Capital
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Course, structure and organization were perfect, as always. This is my 3rd course with LFS.
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Short course
In Frankfurt am Main (Germany)
Take this challenge and dive into the finance industry!
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Type
Short course
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Location
Frankfurt am main (Germany)
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Duration
2 Days
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.
Ask for more information through Emagister's website and an assessor will get in touch with you!
Facilities
Location
Start date
Start date
About this course
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
Numerate background (basic)
Knowledge of derivatives products
Basic knowledge of Microsoft Excel
Reviews
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Course, structure and organization were perfect, as always. This is my 3rd course with LFS.
← | →
Course rating
Recommended
Centre rating
Anonymous
This centre's achievements
All courses are up to date
The average rating is higher than 3.7
More than 50 reviews in the last 12 months
This centre has featured on Emagister for 16 years
Subjects
- IT risk
- Risk
- Counterparty Risk
- Collateral
- xVA concept
- OIS discounting
- ColVA
- Rehypothecation
- FVA
- CVA hedging
- MVA
- FRTB
- Credit Risk
- EE
- EPE
- PFE
- Risk Assessment
- Risk Management
- Regulations
Teachers and trainers (1)
Jon Gregory
Teacher
Dr Jon Gregory has over 15 years' experience as a practitioner in quantitative finance and is a partner at the capital markets consultancy Solum Financial Partners. Formerly he was global head of credit analytics at Barclays Capital and responsible for a team of around 30 researchers globally. Jon holds a PhD from Cambridge University and is author of the books “The xVA Challenge” (now in its third edition) and “Central Counterparties: The Impact of Mandatory Clearing and Bilateral Margin Requirements on OTC Derivatives”, both published by Wiley Finance.
Course programme
Background
- Example
- Overview and history
- The impact of regulation and accounting
- The xVA concept
- Calculating xVA – overview
- Credit exposure
- Definitions (EE, EPE, PFE)
- Simulating exposure
- Risk neutral default probabilities
- Mapping methods and CDS
- Variation margin and rehypothecation
- OIS discounting and collateral optionality
- The impact of collateral on exposure
- Initial margin and segregation
- Collateral and funding
- CVA formulas and examples
- Wrong-way risk
- Incremental CVA
- Impact of collateral on CVA
- Bilateral CVA
Funding and FVA
- DVA and the link to funding
- FVA formulas and examples
- Defining funding costs
- CVA / DVA / FVA framework
- Arguments over FVA
- Regulatory capital and KVA
- Methodologies and impact of SA-CCR and BA_CVA
- Capital value adjustment (KVA)
- KVA examples
- Central clearing
- Bilateral margin rules and SIMM
- The impact of IM on CVA and KVA
- MVA (initial margin)
- xVA in context
- xVA goes mainstream
- Optimal CVA management
- Challenges of pricing xVA
- xVA management
The xVA Challenge: Counterparty Risk, Collateral, Funding and Capital