Course Agenda

Agenda

XVA Masterclass: Agenda


Live virtual course | Agenda timing is in GMT/EST

Start: 2pm GMT / 9am EST
End: 4.15pm GMT/ 11.15am EST

14:00 – 15:00

XVAs: Trends and Changes

14:00 - 15:00

  • How XVA has been affected by market volatility in 2020
  • Modelling collateral
  • Understanding initial margin
  • Managing wrong-way risk

15:00 – 15:15

Coffee Break

15:00 - 15:15

15:15 – 16:15

CVA: foundations and frontiers

15:15 - 16:15

  • Foundations
    • From exposure to CVA
    • Extensions to XVA
  • Modelling
    • Scenario simulation and pricing
    • Default probabilities and recoveries
  • Advanced Topics
    • CVA charging and allocation
    • CVA risk management 
    • Performance

14:00 – 15:00

FVA

14:00 - 15:00

  • FVA – new addition to XVA
  • FCA & FBA – Funding cost and benefit adjustments
  • Trade profitability
  • Accounting versus management perspectives relating to FVA
  • The effect of the libor transition on FVA

15:00 – 15:15

Coffee Break

15:00 - 15:15

15:15 – 16:15

MVA

15:15 - 16:15

  • MVA – explanation, use and calculation
  • Methodologies
  • Cost of MVA
  • MVA by replication and regression
  • Optimisation of MVA using evolutionary algorithms

14:00 – 15:00

KVA

14:00 - 15:00

  • KVA – explanation, use and calculation
  • Methodologies
  • Approaches to calculating KVA
  • Estimating KVA for IMM and Non-IMM
  • KVA and FVA – overlaps?

15:00 – 15:15

Coffee Break

15:00 - 15:15

15:15 – 16:15

Data Management for XVAs

15:15 - 16:15

  • XVA calculations, capital and funding optimization
    • XVA calculations and XVA desks 
    • Structure of an XVA system
  • Impact of regulatory requirements on XVA
  • Data sources, data validations and data flows

14:00 – 15:00

Machine learning and deep learning for XVA

14:00 - 15:00

  • Applications of machine learning in increasing XVA calculation efficiency
  • Function approximation through deep learning
  • ML for credit curve mapping
  • Deep BSDE approach to XVA

15:00 – 15:15

Coffee Break

15:00 - 15:15

15:15 – 16:15

XVA in the future

15:15 - 16:15

  • The role of XVA – is adding value or adding complexity?
  • How can XVA help companies going forward?
  • Impact of XVA on your P&L
  • FRTB-CVA
    • How will it affect capital, MVA and FVA?
  • What is the road to recovery?