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The xVA Challenge: Counterparty Risk, Collateral, Funding, Capital, Initial Margin, and Central Clearing – NYC
October 29 - October 31
This course explains and describes the valuation adjustments in derivatives pricing in relation to counterparty risk, collateral, funding, and capital components. The ideas are built up sequentially and workshops are used to develop the key ideas including simulation of exposure, the impact of risk mitigants, collateral effects, regulation, and the resulting calculation of CVA, DVA, FVA, ColVA, KVA, and MVA.