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xVA - Computing, Metrics & Pricing
Overview
This 1 day course focus on comprehensive review of the current state of the art in quantifying and pricing counterparty credit risk.
Learning Objectives
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
