XVA management: advanced level
View AgendaKey reasons to attend
- Deep dive into wrong-way risk and the foreign exchange devaluation approach
- Explore exposure modelling and valuation adjustments – collectively known as XVA – calculations
- Strengthen your understanding of XVAs
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About the course
Delve into the world of XVAs with us by exploring various XVAs on a deeper level with curated session for collateral, credit, margin, and capital valuation adjustments and more. During this course, participants will go beyond the basics of XVAs by analysing the choice of models for each asset class and gain tools for heading XVAs during market volatility.
A subject matter expert will guide participants in fostering a stronger understanding of wrong-way risk, including stochastic credit models and approaches to FX devaluation, credit products and jump diffusion.
Participants will examine XVA calculations through an exposure simulation and discuss algorithmic differentiation.
This virtual learning experience is aimed towards XVA 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 masterclass.
Pricing options:
- Early-bird rate: save up to $800 per person by booking in advance (refer to the booking section for the deadline)
- 3-for-2 rate: save over $2,000 by booking a group of three attendees (applicable to this course)
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber* (use code SUB30)
- Season tickets: cost-effective option for groups of 10 or more. Learn more
*The 30% subscriber reward discount is applicable only to current Risk.net subscribers. If this criteria is not met, we reserve the right to cancel the booking and issue an invoice for the correct rate. Discounts cannot be applied to already registered participants.
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
Agenda
June 25–27, 2024
Live online. Timezones: Emea/Americas
Sessions:
- Collateral discounting of valuation adjustments – known as XVAs
- Credit curves and credit valuation adjustment (CVA)
- Exposure modelling
- Wrong-way risk
- CVA and funding valuation adjustment (FVA)
- XVA management
- Exploring margin valuation adjustment (MVA) and capital valuation adjustment (KVA)
- Speeding up XVA calculations
- Regulatory aspects
Tutors
Jon Gregory Risk Learning Faculty
Dr Jon Gregory is an independent expert specialising in counterparty risk and XVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member for the Certificate of Quantitative Finance (CQF).
In addition to publishing papers on the pricing of credit risk and related topics, Jon is author of the book Counterparty Credit Risk The New Challenge for the Global Financial Markets published by Wiley Finance in December 2009 (now in its third edition) and Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives.
Jon has a PhD from Cambridge University.
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- ECB zeroes in on wrong-way risk as a key lesson of Archegos
- New developments in XVA: bank strategy in a changing world
- Future expectations for XVA and counterparty credit risk management
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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