xVA - Computing, Metrics & Pricing

Description

Overview

This 1 day course focus on comprehensive review of the current state of the art in quantifying and pricing counterparty credit risk.

Learn how to calculate each xVA through real-world, practical examples

Understand essential metrics such as Expected Exposure (EE), Potential Future Exposure (PFE), and Expected Positive Exposure (EPE)

Explore the ISDA Master Agreement, Credit Support Annexes (CSAs), and collateral management.

Gain insights into hedging strategies for CVA.

Gain a comprehensive understanding of other valuation adjustments such as Funding Valuation Adjustment (FVA), Capital Valuation Adjustment (KVA), and Margin Valuation Adjustment (MVA).

Who the course is for

Derivatives traders, structurers and salespeople

xVA desks

Treasury

Regulatory capital and reporting

Risk managers (market and credit)

IT, product control and legal

Quantitative researchers

Portfolio managers

Operations / Collateral management

Consultants, software providers and other third parties

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