XVA Modelling and Management

Explore the execution and management of various XVA models, as well as the associated risks and challenges

Join our 4-day interactive, virtual course offering the opportunity to deep dive into the modelling and management of XVA. 

Sessions will focus on the execution and management of CVA and DVA, FVA, MVA and KVA, discussing aspects such as CCP for MVA optimisation, IBOR and FVA and capital requirements under KVA. 

This course offers attendees a deeper understanding on the role of XVA desks and the development of this since the pandemic and develop their knowledge on wrong way risk looking at examples of ‘toy’ quant inventions.

Subject-matter experts will discuss the topics in detail via 60 minute, interactive sessions, providing a better understanding of the future of XVA, looking at the effect of climate change, for example. 

What will you learn?
  • Modelling collateral and the potential mitigating risks

  • Scenario simulation and pricing model choice by asset class

  • The new role of XVA desks and effect on maturity due to the pandemic

  • CCP for MVA optimisation

  • Quantum computing and example ‘toy’ inventions

  • The effect of climate change and model solutions


Who should attend

Relevant departments may include but are not limited to

  • XVA risk

  • XVA analyst

  • XVA desk

  • XVA trading

  • Counterparty credit risk

  • Quant modelling

  • Treasury

Content support

For this course we have collated a selection of articles from Risk.net to supplement your learning.

Risk Training is a part of Risk.net - the world’s leading source of in-depth news and analysis on risk management, derivatives and complex finance.

View articles here

Live Virtual training courses


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