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.
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
November 5–7, 2024
Live online: Timezones: Emea/Americas
Sessions:
- Background and data
- Exposure modelling: design
- Exposure modelling: implementation
- Wrong-way (and right-way) risk
- Capital and initial margin
- Risk management
Tutors:
- Jon Gregory, independent XVA expert
- Andrew Green, independent XVA expert
Tutors
Jon Gregory Risk Learning Faculty
Dr Jon Gregory is an independent expert specialising in counterparty risk and XVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member for the Certificate of Quantitative Finance (CQF).
In addition to publishing papers on the pricing of credit risk and related topics, Jon is author of the book Counterparty Credit Risk The New Challenge for the Global Financial Markets published by Wiley Finance in December 2009 (now in its third edition) and Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives.
Jon has a PhD from Cambridge University.
Andrew Green
XVA expert
Andrew Green is an XVA expert with over 25 years of experience in quantitative finance. He is the author of XVA: Credit, Funding and Capital Valuation Adjustments and has co-authored a number of papers on XVA. He has worked on XVA models at a number of different banks. Andrew holds a BA and DPhil in physics from the University of Oxford and part III of the mathematics tripos from the University of Cambridge.
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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