XVA modelling and management

  • 4 days
  • Quant & model risk
  • 8 CPD points
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Key reasons to attend

  • Learn best practices for managing valuation adjustment (XVA) desks

  • Explore key tools for execution of XVAs

  • Discuss current and upcoming challenges in the industry

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Customised solutions

Does your team require a tailored learning solution on this or any other topic?

Working with the portfolio of expert tutors and Risk.net’s editorial team, we can develop and deliver a customised learning to make the most impact for your team, from initial assessment to final review. 

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About the course

Join this interactive, virtual learning course for the opportunity to learn about the complexities and nuances associated with the wide variety of topics covered by the umbrella term ‘XVA’. 

Leading experts will guide participants through engaging presentations, aiding them in exploring the fundamental principles of XVA.

Sessions on MVA and capital valuation adjustment (KVA) will build participants’ skills in navigating the evolving XVA desk.

Course participants will deepen their knowledge of how global change impacts XVA calculations, providing them with the practical insights that will directly influence their business-as-usual models. 

Learning objectives

  • Model collateral and mitigate potential risks 

  • Address the effect of the Ibor transition on funding valuation adjustments (FVAs) in your business

  • Analyse the new role of XVA desks and effect on maturity due to the Covid-19 pandemic

  • Apply CCP techniques for margin valuation adjustment (MVA) optimisation

  • Employ model solutions for the effect of climate change

  • Mitigate the challenges inflation poses on credit valuation adjustments (CVA) and FVA

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


November 28 - December 1, 2022

Time zones: Emea / Americas
Start time: 14:00 GMT / 09:00 EST
Finish time: 16:15 GMT / 11:15 EST


  • CVA modelling basics

  • XVA risk management

  • Execution of MVA

  • Execution of FVA

  • Execution of KVA

  • The role of XVA desks

  • Geopolitical impact on XVA 

  • XVA and climate change

View detailed agenda

May 22–24, 2023

Time zones: Emea / Apac

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  • Matthias Arnsdorf, global head of XVA and counterparty risk, JP Morgan

  • Ben Burnett, co-head of XVA quant team, Barclays

  • Chia Tan, director, XVA and CCR model risk management, Bank of America

  • Dmitry Pugachevsky, head of research, Quantifi  

  • Stamatoula Matsoukis, director and founder, Euclides Risk Solutions

  • Ali Najmaie, director & VP, XVA and global credit trading desks, TD

  • Claudio Albanese, founder, Global Valuation


This course is CPD (Continued Professional Development) accredited. One credit is awarded for every hour of learning at the event.

Pre-reading materials

The Risk.net resources below have been selected to enhance your learning experience:

  • Russian invasion stirs up ‘perfect storm’ for XVA desks - Read article

  • Climate is changing for derivative valuation adjustments - Read article

  • Estimating future value-at-risk from value samples, and applications to future initial margin - Read article

To access some of the above articles you need to have a current subscription to Risk.net. If you don’t have one now, please subscribe to a free trial


November 28 - December 1, 2022

02:00 pm - 04:15 pm




May 22 - 24, 2023

08:00 am - 11:00 am




Earlybird Price

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  • Agenda and registration process
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