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The xVA Challenge: Counterparty Risk, Collateral, Funding and Capital – Frankfurt

September 14, 2017 - September 15, 2017

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 and calculation of CVA, DVA, FVA, ColVA, KVA and MVA.

Particular attention is paid to current market practice and the future impact of regulatory changes such as Basel III, mandatory clearing and bilateral margining mandates.

Participants will be able to take away all worked examples and additional exercises and models implemented using Excel functions and macros.

All delegates receive the latest edition of Dr Jon Gregory's book "The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital" published by Wiley Finance.

Details

Start:
September 14, 2017
End:
September 15, 2017
Website:
https://www.londonfs.com/programmes/Counterparty-Risk-and-Collateral-Management-Frankfurt/Overview/

Venue

Frankfurt

Organiser

London Financial Studies
Website:
www.londonfs.com