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

London Financial Studies
En London (Inglaterra), Dubai (Emiratos Árabes Unidos), Hong Kong (Hong Kong) y 3 sedes más
1 opinión


Información importante

Tipología Short course
Inicio En 6 sedes
Duración 3 Days
Inicio clases 01/11/2017
otras fechas

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.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

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

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

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
A elegir
Dubai, Emiratos Árabes Unidos
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A elegir
Hong Kong
Hong Kong, Hong Kong
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13 noviembre 2017
34 Curlew Street, se12nd, London, Inglaterra
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01 noviembre 2017
New York
New York, Estados Unidos
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22 noviembre 2017
The Finexis Building, Singapore, Singapur
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27 noviembre 2017
New South Wales, Australia
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Ver todas (6)
Inicio A elegir
Dubai, Emiratos Árabes Unidos
Ver mapa
Inicio A elegir
Hong Kong
Hong Kong, Hong Kong
Ver mapa
Inicio 13 noviembre 2017
34 Curlew Street, se12nd, London, Inglaterra
Ver mapa
Inicio 01 noviembre 2017
New York
New York, Estados Unidos
Ver mapa
Inicio 22 noviembre 2017
The Finexis Building, Singapore, Singapur
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Inicio 27 noviembre 2017
New South Wales, Australia
Ver mapa


Lo mejor It is a great course as the teacher makes Xva accessible although the topic is quite complex. I came out with a good overview on the topic çhistory, economic relevance and development.

A mejorar Nothing.

Curso realizado: Octubre 2016 | ¿Recomendarías este centro?

¿Qué aprendes en este curso?

IT risk
Central Clearing
Counterparty Risk
xVA Challenge
Bilateral CVA
Initial Margin


Day One
  • 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 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 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
Este curso está en español. Traducir al inglés