Course description
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
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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.
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Learn how to calculate each XVA.
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Learn sensitivities of each XVA and how XVA desks manage these.
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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.
Upcoming start dates
Suitability - Who should attend?
Who the course is for
- Anyone involved in OTC derivatives
- XVA traders
- XVA quants
- Derivatives traders and salespeople
- Risk management
- Treasury staff
- Internal audit and finance
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Finex Learning
Finex Learning: Expert-Led In-House Training for the Financial Services Industry At Finex Learning, we specialize in organizing and delivering customized in-house training solutions tailored to the financial services industry. Our comprehensive programs focus on Capital Markets and are designed for...