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

London Financial Studies
4.3
10 reviews
  • This course was excellent, I already had high expectations and the course confirmed them all. I highly recommend it to professionals in the field.
    ← | →
  • This course was highly informative. The teacher is an expert on xVA, he did an excellent job.
    ← | →
  • The course is full with practical applications and the teacher is very competent. I highly recommend London Financial Studies.
    ← | →

Short course

In New York (USA), London, Singapore (Singapore) and another venue.

£ 3001-4000

The impact of regulation and accounting!

  • Duration

    3 Days

This course explains and describes the valuation adjustments in derivatives pricing in relation to counterparty risk, collateral, funding, and capital. The ideas are built up sequentially and workshops are used to develop the key ideas including modeling, legal aspects, portfolio effects and the resulting calculation of CVA, DVA, FVA, ColVA, KVA, and MVA.

Particular attention is paid to current market practice (analyzed by survey results), the impact of regulation (e.g. Basel III) and accounting standards (IFRS 13). Future changes such as mandatory clearing and bilateral margining requirements are also covered. Participants will be able to take away all worked examples and additional exercises and models implemented using Excel functions and macros.

This course is also available remotely via LFS Live

Facilities

Location

Start date

London
See map
34 Curlew Street, se12nd

Start date

On request
New York (USA)
See map

Start date

On request
Singapore (Singapore)
See map
The Finexis Building

Start date

On request
Sydney (Australia)
See map

Start date

On request

About this course

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

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

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Reviews

4.3
fantastic
  • This course was excellent, I already had high expectations and the course confirmed them all. I highly recommend it to professionals in the field.
    ← | →
  • This course was highly informative. The teacher is an expert on xVA, he did an excellent job.
    ← | →
  • The course is full with practical applications and the teacher is very competent. I highly recommend London Financial Studies.
    ← | →
100%
4.4
fantastic

Course rating

Recommended

Centre rating

Former Student

5.0
20/07/2017
What I would highlight: This course was excellent, I already had high expectations and the course confirmed them all. I highly recommend it to professionals in the field.
What could be improved: Nothing.
Would you recommend this course?: Yes

Former Student

4.0
16/03/2017
What I would highlight: This course was highly informative. The teacher is an expert on xVA, he did an excellent job.
What could be improved: Nothing.
Would you recommend this course?: Yes

Former Student

5.0
16/03/2017
What I would highlight: The course is full with practical applications and the teacher is very competent. I highly recommend London Financial Studies.
What could be improved: Nothing.
Would you recommend this course?: Yes

Former Student

4.0
15/03/2017
What I would highlight: The course was excellent, as well as the teacher. Great job! I strongly recommend it.
What could be improved: Nothing.
Would you recommend this course?: Yes

Former Student

4.0
26/10/2016
What I would highlight: The teacher is an excellent speaker and the course is very well organized.
What could be improved: Nothing.
Would you recommend this course?: Yes
See all
*All reviews collected by Emagister & iAgora have been verified

This centre's achievements

2016

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

  • Risk
  • IT risk
  • Simulation
  • IFRS
  • xVA Challenge
  • Counterparty Risk
  • Collateral
  • Central Clearing
  • Accounting
  • Bilateral CVA
  • Methodologies
  • Topology
  • Initial Margin

Teachers and trainers (1)

Jon Gregory

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

Day One

Background
  • Example
  • Overview and history
  • The impact of regulation and accounting
  • xVA overview
  • Setups
Example: xVA across different types of transactions

Regulation and accounting
  • IFRS 13
  • Basel III - capital
  • Basel III - liquidity (LCR, NSFR)
  • Central clearing and bilateral margining rules
Exposure and Default Probability
  • Credit exposure
  • Definitions (EE, EPE, PFE)
  • Simulating exposure
  • Risk-neutral default probabilities
Example: IRS exposure Simulation

Collateral
  • Collateral mechanics and variation margin
  • OIS discounting and collateral optionality
  • The impact of collateral on exposure
  • Initial argin
  • Collateral and funding
Example: Interaction between credit and funding costs


Day Two

CVA and DVA
  • CVA formulas and examples
  • Wrong-way risk
  • Incremental CVA
  • Impact of collateral on CVA
  • Bilateral CVA
Example: CVA/DVA calculation

Funding and FVA
  • FVA formulas and examples
  • CVA/DVA/FVA framework
  • Defining funding costs
  • Arguments over FVA
Example: FVA calculation

Regulatory Capital and KVA
  • Regulatory Capital and KVA
  • Methodologies and impact of SA-CCR and FRTB
  • Capital value adjustment (KVA)
  • KVA example
Example: EAD and KVA calculations

CVA Management
  • CVA approach
  • CVA hedges and capital relief
  • Optimal CVA management
  • Outlook in light of FRTB-CVA

Day 3

Central Clearing
  • The topology and mechanics of clearing
  • Client clearing
  • CCP capital rules
  • CCP risk management
Initial Margin Methodologies
  • Standard portfolio analysis of risk (SPAN)
  • Value-at-risk and expected shortfall
  • Historical simulation
  • Portfolio effects and the LCN-CME basis
Example: Initial margin calculations

Initial margin and MVA
  • Standard initial margin model (SIMM)
  • Impact of initial margin on CVA and KVA
  • MVA (margin value adjustment)
  • TMVA example
Example: MVA calculation

The Future of xVA and the Central Desk
  • xVA context
  • xVA goes maintream
  • Challenges of pricing xVA
  • xVA management
Example: Complete xVA calculations

See related categories

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

£ 3001-4000