XVA modelling
View AgendaKey reasons to attend
- Learn about market-standard approaches to valuation adjustment (XVA) modelling
- Understand the different models used across asset classes
- Explore diverse topics, including wrong-way risk and how to expedite XVA calculations
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About the course
Recent volatility and regulatory changes have introduced additional complexities to XVA, requiring increasingly sophisticated modelling techniques. This course offers an in-depth exploration of XVA modelling, guided by industry experts. Participants will explore the design of XVA models and learn how to accurately model volatility and correlations.
Practical insights into implementing these models, including approaches for managing data and calibration challenges, will be provided. Attendees will also discuss the requirements for the standardised approach for credit valuation adjustment (SA-CVA), as well as methods to quantify the impact of collateral.
By the end of the course, participants will be equipped to build a robust XVA framework within their organisations.
Note: a background in mathematics or quantitative finance is recommended to attend this course.
Pricing options:
- Early-bird rate: save up to $800 per person by booking in advance*
- 3-for-2 rate: save over $2,000 by booking a group of three attendees*
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber*
- Season tickets: cost-effective option for groups of 10 or more. Learn more
*T&Cs apply
Are you looking for a course that covers the management of XVAs?
Join our XVA management masterclass.
Learning objectives
- Discover formulas for calculating the diverse types of XVAs
- Understand the exposure simulation framework at the heart of XVA modelling
- Discuss methods for estimating credit spreads and other curves required for XVA calculations
- Address data and performance issues
- Examine collateral modelling approaches
- Learn advanced methods for calculating XVA sensitivities
Who should attend
Relevant departments may include but are not limited toQuantitative analysis
- Quantitative development
- Model validation
- XVA trading
- Financial modelling
- Credit risk
- Product control
- Market risk:
Agenda
Sessions:
- Background and data
- Exposure modelling: design
- Exposure modelling: implementation
- Wrong-way (and right-way) risk
- Capital and initial margin
- Risk management
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- Emulating the Standard Initial Margin Model: initial margin forecasting with a stochastic cross-currency basis
- Future expectations for XVA and counterparty credit risk management
- Collateralised exposure modelling: bridging the gap risk
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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