Overview
This is a 2 day applied course on XVA for anyone interested in going beyond merely a conceptual understanding of XVA and wants practical examples of Monte Carlo simulation of market risk factors to create exposure distributions and profiles for derivatives used for XVA pricing
Learn how to do Monte Carlo simulation of key market risk factors across major asset classes to create exposure distributions and profiles (with and without collateral) for derivatives used for XVA pricing.
Learn how to calculate each XVA.
Learn sensitivities of each XVA and how XVA desks manage these.
Learn regulatory capital treatment of counterparty credit risk (both for CCR and CVA volatility) and how to stress test this within ICAAP or system-wide external, supervisor-led capital stress test.
Who the course is for
Anyone involved in OTC derivatives
XVA traders
XVA quants
Derivatives traders and salespeople
Risk management
Treasury staff
Internal audit and finance
Course Content
To learn more about the day by day course content please request a brochure
To learn more about schedule, pricing & delivery options, book a meeting with a course specialist now