XVA Modelling and Computation

London Financial Studies
En London (Inglaterra)

£ 3,735 - ($ 100,799)
más IVA

Información importante

  • Short course
  • London (Inglaterra)
  • Duración:
    3 Days
  • Cuándo:

This is an advanced three day course giving attendees broad and deep knowledge to understand, implement and manage XVA’s.

It starts from describing pricing under CSA and multicurve and then builds a modelling framework for implementing an efficient XVA platform. It describes CVA/DVA, Funding and Capital adjustments from modelling and regulatory aspects to accounting choices up to market best practice and cutting edge issues, with both detailed break down and global aggregation.

Sections are devoted to Initial Margin, Collateral Currency options and other adjustments and mitigations. It concludes describing hedging under both a strategic and an implementation point of view.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

- Quants/ Financial Engineers
- Traders, Risk Managers
- Structurers
- Sales People
- Strategists, Researchers

The course is also suitable for Regulators and Academics who want to get real knowledge of market practice and modelling issues in the field of XVAs.

Requisitos: The foundations of derivatives pricing Basic statistics and numerical methods (Monte Carlo) A basic understanding of Counterparty Risk and xVA's (covered in The XVA concept)


Dónde se imparte y en qué fechas

Inicio Ubicación
19 junio 2017
34 Curlew Street, se12nd, London, Inglaterra
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¿Qué aprendes en este curso?

IT risk
GCSE Mathematics
CSA Price
Hedging strategies
Risk Managers

Programa académico

Day One

Modelling and Implementation for XVA's

  • The way XVA’s are restructuring banks
  • The nature of XVA’s. Netting sets, entity specific computations, non market parameters and hybrid hedging
  • Choosing the modelling framework
The base CSA Price
  • The value of collateral and OIS discounting
  • The mathematics of collateral
  • Negative rates and Multicurve in an XVA framework
Modelling framework for XVA
  • Credit Reduced Form Models with default intensity from flat to time dependent to stochastic. The possible addition of Jumps
  • Hybrid modelling for Rates, FX, Commodities, Equity and inflation modelling
  • Wrong Way Risk and Correlated Counterparties: Multi factor Models, PCA, Copulas, Joint Jumps
  • Structural Models for Ratings and Spread
  • Model Risk and Model Validation issues. Level 1, 2 and 3
Implementing CVA
  • The mathematics of CVA (and DVA)
  • Master Formula
Practical Examples:
  • Rates and Cross currency CVA with analytics and via simulation
  • Equity CVA with intensity and with structural models
  • FX, Commodity and Wrong Way Risk
Computational efficiency
  • Default simulation vs exposure computation
  • Full repricing vs American Monte Carlo. Technical issues and how to solve them
  • Working on hardware: parallel computing, grids and GPU’s 
Practical Example: Simulation fox hybrid XVA's, issues and solutions

Day Two

DVA, Funding, Capital with KVA, Aggregation and Accounting
  • The Closeout Puzzle
  • DVA as Funding Benefit
  • Interactions between DVA and FVA
  • The mathematics of funding
  • The basics: valuating Collateral and Funding through discounting
  • The impact of NSFR
  • The interactions with Credit Risk
  • Formalizing the funding strategy. Funding as replication
  • The FVA debate. HW point and practical and theoretical confutation
  • Implementing Funding in simulation or loan equivalent exposures
  • The optimal Funding adjustment. Market Consensus and Funding nature for competitive charge
Interactions between FVA and KVA
KVA: from Regulatory Exposures to Cost of Capital
  • Computing Regulatory Capital Requirements
  • Modelling under the Real World measure vs Risk Adjusted Pricing
  • KVA implementation: american and joint measure simulation
  • Capital against Credit risk vs charging CVA – Two insurance strategies
  • Cost of Capital
Interactions between KVA and CVA
Practical Example: aggregation without double counting

XVA Organization and Accounting
  • CVA and DVA in IFRS 13. Prudent Valuation, AVAs and the choice between Fair Value and Capital. Perspectives for KVA
  • FVA accounting. The approach of Albanese and Andersen. The approach of Hull and White. Variations and Examples
  • EVA and other KPI. Measuring the profitability of the Derivatives Business
Practical Example: Organization, Transfer Pricing, Practical XVA Desk Interaction

Day Three

Sensitivities and Hedging, Initial Margin and Collateral Options
Initial Margin Value Adjustment
  • CCPs, ISDA SIMM and Bilateral Initial Margin
  • Full revaluation vs Delta gamma approximations
  • Path wise Montecarlo for the IM component of FVA
  • Detecting the impact of IM in prices
Practical Example: Efficient Implementation
Other mitigations of XVA risk
  • Netting and Set off agreements
  • Break up Clauses
  • Possible future: Tranching CVA and Margin Lending
  • Possible future: Distributed Ledgers for efficient settlement, collateral closeout
Collateral Options
  • CCS pricing and the cross currency basis
  • The mathematics of collateral currency
  • The value of switching collateral currency
  • The value of bond vs cash collateral
Hedging Strategies
  • CVA Hedging in reality
  • Different rehedging frequencies and protection of exposures
  • Making use of correlations for effective hedging
  • Hedging or transferring DVA
Efficient Sensitivities
  • Making greeks efficient: pathwise and adjoint differentiation
  • Adjoint sensitivities with credit simulation and with exposures
  • Adjoint sensitivities with bootstrap and calibration
Practical Example: Hedging and Adjoint Geometry