XVA Masterclass

Explore the various uses, methodologies, and challenges of XVA. <br />

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XVA Masterclass

Dates TBC, 2021

Course Agenda    ENQUIRE ABOUT THE PRICES

With falling interest rates and a widening of the funding spread significantly effecting FVA and CVA, the landscape for XVA has experienced several major challenges in recent months.

This virtual training course will deep dive into the complexity of XVA, its various methodologies and calculations, allowing delegates to hear different perspectives from expert practitioners and their peers.

Sessions will focus in detail on CVA, DVA, FVA, MVA, and KVA and discuss the journey of XVA in the context of recent market changes.

Participants will have the opportunity to develop their knowledge on the applications of machine and deep learning to XVA calculations, as well as discuss the importance of data management in XVA calculations and capital and funding optimisation.  

This course will look at the future of XVA, its impact on P&L and how FRTB-CVA will affect capital, MVA and FVA.

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What will you learn?
  • How XVA has been affected by market volatility in 2020
  • In depth understanding of the various methodologies used to calculate XVA
  • The challenges of calculating hedging and P&L in CVA
  • Accounting versus management perspectives relating to FVA
  • Applications of machine learning in increasing XVA calculation efficiency 
  • The impact of FRTB-CVA
  • Tools for data management to optimise XVA
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Who should attend

Relevant departments may include but are not limited to:

  • XVA Desk
  • Counterparty credit risk
  • Quant modelling
  • Treasury
  • Risk Management
Online Training

Our live, virtual training courses have been designed to engage and inspire you. Much more than a webinar, our approach includes:

  • Technical content compressed into 60-minute interactive sessions and spread out over two, three or four days
  • Facilitated collaboration including Q&A, interactive polling and group workshops
  • Live interaction with subject matter experts – get your questions answered in real time
  • Receive comprehensive course materials and supporting content from Risk.net to reinforce your learning
  • Stay connected with other learners and extend your network by joining our dedicated LinkedIn group for course participants

CPD / CPE Accreditation

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CPD Accreditation

This course is CPD (Continued Professional Development) accredited and will allow you to earn up to 8 credits. One credit is awarded for every hour of learning at the event.

CPE Member

CPE Accreditation

This course is CPE (Continuing Professional Education) accredited and will allow you to earn up to 8 credits. One credit is awarded for every hour of learning at the event in accordance with the standards of the National Registry of CPE Sponsors.

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