xVA Modelling & Management

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.

Learning Objectives

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.