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

VIEW AGENDA

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

Pricing Options

We offer flexible pricing options for this course:

  • Early bird rates 

  • Group rate

  • Enterprise rates

  • Visit registration page for further information

  • Subscribe to receive Risk Training updates and avoid missing out on additional savings

In-house option

Would you like this course delivered to your team in-house? 

We adjust the agenda to your specific needs and run the course at the time that suits you.

Your team and organisation will benefit from:

  • Expertise

  • Customisation

  • Efficiency and convenience 

  • Cost-effectiveness

Find out more

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Suyan Liu

Director & counterparty risk analytics

Wells Fargo

Susan is an experienced practical quant with 15+ years working experience for (derivatives) pricing, market risk, and counterparty risk; across asset classes and product types. Her comprehensive hands-on expertise puts her in a uniquely advanced position for the most meaningful model development and risk management of the complicated XVA world.

She currently is working as director of counterparty risk analytics for Wells Fargo after a long personal break. Her Mprevious posts include head of risk analytics for Development Bank of Singapore, head of quantitative risk control for UBS Asia Pacific, and head of counterparty risk analytics for UBS.
She has been invited speakers to RISK and GFMI. She has also been part-time lecturer with National University of Singapore for three semesters and very recently with Columbia University for one class

 

Matthias Arnsdorf

Global head of counterparty credit risk quantitative research

JP Morgan

Since 2012 Matthias has been heading the J.P. Morgan  counterparty credit risk quantitative research team globally.

His main responsibilities include the development & support of J.P. Morgan’s suite of credit exposure models which are used for valuation and risk management as well as credit capital. Prior to his work in credit risk, Matthias headed the market risk capital modelling effort in EMEA for two years. Matthias started his career in finance in 2002 as a credit derivatives quantitative researcher at UBS and J.P.Morgan.

Matthias holds a PhD in Quantum Gravity from Imperial College London and has spent two years as a post-doctoral researcher at the Niels Bohr Institute in Copenhagen prior to his move to quantitative finance. 

Jon Gregory

Senior advisor

Solum Financial Derivatives Advisory

Jon Gregory is an independent expert specialising in counterparty risk and xVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is author of the book “Counterparty Credit Risk: The new challenge for global financial markets” (now in its forth edition) and “Central Counterparties: The Impact of Mandatory Clearing and Bilateral Margin Requirements on OTC Derivatives”. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member of the Certificate of Quantitative Finance (CQF). He also serves on the Academic Advisory Board of IHS Markit and is a Managing Editor of the journal Quantitative Finance.

Jon holds a PhD from Cambridge University.

Stamatoula Matsoukis

Director and founder

Euclides Risk Solutions

Stamatoula Matsoukis is the Director and Founder of Euclides Risk Solutions, a quantitative finance consultancy. She has long term experience and expertise in counterparty risk modelling and regulation, XVAs, model risk, and model governance gained from senior positions in Risk Management, Front Office, and Audit functions. Before becoming a consultant, she had worked for financial institutions such as the UK financial regulator, Morgan Stanley, Standard Chartered and Deutsche Bank. She holds a PhD in Space Plasma Physics from the University of Warwick and worked as research scientist on the same subject in Queen Mary & Westfield College.

Nicki Rasmussen

First vice president, head of XVA desk

Dankse Bank

Ben Burnett

Head of XVA quant team

Barclays

Ben is the co-head of the XVA Quant team at Barclays. He has worked within the XVA space in London and New York for over a decade, and has published a number of articles in Risk magazine. He holds a DPhil in Astrophysics from Oxford and a PhD in Philosophy from King's College London.

Jean Jacques Kamdem

Global head of traded risk analytics

HSBC

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

Not the course for you?

Risk Training offers a great selection of courses providing practical guidance on the latest trends, challenges and regulatory changes that span risk management, regulation and derivatives.

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E-Learning

Risk Training’s self-paced E-Learning platform offers Essentials of Operational Risk programme, plus more topics to come soon.
 

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