XVA management: advanced level
About the course
Delve into the world of derivatives markets by exploring XVAs and how they have fundamentally reshaped the way institutions price and manage derivative portfolios. Curated session for collateral, credit, margin, and capital valuation adjustments will go beyond the basics by analysing how these adjustments interact and are modelled.
Participants will deepen their understanding of wrong-way risk, including stochastic credit models and approaches to FX devaluation, credit products and jump diffusion. Sessions will examine XVA calculations through an exposure simulation and discuss algorithmic differentiation to improve computational efficient and pricing accuracy. This course equips participants with the tools for heading XVAs during market volatility and manage associated risks.
This virtual learning experience is aimed towards professionals who have taken our XVA management masterclass or have a strong foundational knowledge of XVAs.
To start learning about XVAs, join our XVA management: a comprehensive overview programme.
What participants say:
”A must-attend for anyone serious about advancing their knowledge of XVA concepts. The real-world insights and interactive format made complex topics easy to grasp and apply.” - Senior risk professional
”The best training I’ve attended on XVA. Relevant and full of practical solutions I could implement immediately.” - Quantitative analyst
”This course offered a practical look at XVA beyond the theory. It gave me a deeper understanding of pricing adjustments and their strategic impact, which I will use in my day-to-day work.” - Derivatives trader
Learning objectives
- Hedge XVAs during market volatility
- Integrate the proxy spread approach and outlier removal methods
- Build a strong framework for credit valuation adjustment (CVA), debit valuation adjustment and funding valuation adjustment
- Select appropriate models for each asset class
- Approach XVA calculations through exposure simulation
- Comply with regulatory requirements related to the standardised approach to CVA
Who should attend
Relevant departments may include, but are not limited to:
- XVA risk
- XVA analyst
- XVA desk
- XVA trading
- Counterparty credit risk
- Quant modelling
- Treasury
- Derivatives
- Treasury
- Market risk
- Model validation
Agenda
Enquire about:
- Agenda and registration process
- Group booking rates
- Customisation of this programme
- Season tickets options
Accreditation
This course is CPD (Continued Professional Development) accredited. One credit is awarded for every hour of learning at the event.
Enquire now
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