XVA management: a comprehensive overview

About the course

This interactive virtual course explores the nuances of different XVAs and provides strategies for managing risks associated with each type. 

With the course focusing on the overarching exploration of XVAs, participants will delve into the role of XVA trading desks, the impact of market volatility and the regulatory implications. Specific sessions are dedicated to addressing the challenges linked to the execution of KVA and MVA, as well as learning how to perform related calculations.  

Participants will gain the tools needed to improve their XVA programmes by learning how to integrate machine learning into XVAs through the discussion of supervised learning and the architecture of regression.  

Participants will gain practical insights into XVAs that will directly influence their business as usual. 

What participants say:

“The course was very detailed and practical. Each of the speakers possess a high degree level of industry experience and provided robust guidance and responses to questions. Sessions covered all critical aspects of XVA Management in the real world and each session was very interactive. The additional knowledge gained from the class was instantaneously useful for me at work.”

“The detailed exploration of various XVAs and practical risk management strategies provided me with invaluable insights. Each session was rich with actionable knowledge that I can apply to enhance our XVA programs.”

“Comprehensive coverage of XVAs, interactive and practical sessions, knowledgeable tutors. I left the course with practical tools to improve our business operations.”

Pricing options*:

• Early-bird rate: save up to $800 per person by booking in advance
• 3-for-2 rate: save over $3,000 by booking a group of three attendees
• Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber
• Season tickets: cost-effective option for groups of 10 or more. Learn more 

*T&Cs apply

Tutors

Ravi Savur

Former managing director

Ex-Citigroup

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Ravi has over 20 years of experience and was the Managing Director at Citigroup. He has been responsible for Global Markets portfolio risk metrics, e.g., risk appetite and limit setting, stress testing/CCAR, model risk, valuation and profit attribution risk, across every asset class, and with significant regulator interaction. Ravi has very detailed knowledge from various roles including as Market Risk Manager for credit value adjustment (XVA), exotic and emerging market FX, interest rate and credit derivatives, and previously as Co-Head of Convergence Risk group (covering derivative products and underlying asset classes combining market and credit risk). He also has extensive derivatives product knowledge and business focus gained while front office desk head structuring and selling exotic FX, interest rates and occasionally commodity products. 

Irina Ursachi Risk Learning Faculty

Director

Forvis Mazars

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Irina has extensive hands-on experience leading projects in all areas of risk management, including derivatives pricing, XVA (CVA-, DVA-, FVA-, KVA- and MVA- implementation), interest rate models, model validation, regulatory requirements (FRTB, CRR, CRD IV, Basel III, CRR II, CRD V, Basel IV), front office projects, trading systems (Murex, Summit, Kondor+), project management, test management and regulatory audit. She is a frequent speaker on Risk Learning courses on regulatory requirements. 

Stamatoula Matsoukis

Director and founder

Euclides Risk Solutions

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Stamatoula has long term experience and expertise in risk modelling, regulation, and XVAs, which she gained through comprehensive reviews and enhancements of risk frameworks with major global banks, including ECB, Deutsche Bank, Morgan Stanley, JP Morgan, UK Financial Services Authority and Standard Chartered Bank. She has extensive experience many many area of regulation and risk management including XVA, counterparty credit risk modelling, ICAAP, IFRS9, CCAR submission and model risk management.  
She is director and founder of Euclides Risk Solutions, which aims to enhance financial stability through rigorous quantitative analytics and modeling, ensuring compliance with evolving regulatory standards. 

Pre-reading materials

Browse through the Risk.net resources to enhance your learning experience: 

• Valuation adjustments (XVAs)
• Credit valuation adjustment (CVA)
• Funding valuation adjustment (FVA)

A Risk.net subscription will provide you access to the content. Alternatively, register for free to read two articles.