Horas:
14
14
Sesiones:
2
2
Fechas:
2023-08-23
2023-08-23
Horario:
Mi: 10:30 a 17:00, Ju: 10:30 a 17:30
Mi: 10:30 a 17:00, Ju: 10:30 a 17:30
Descripción
This is a course that covers the role of valuation adjustment (‘xVAs’) in derivatives pricing and valuation and also the management of xVAs within an organisation. The origin of valuation adjustments in relation to counterparty credit risk, collateral, funding, capital and initial margin is covered in depth together with relevant considerations related to best market practice, market effects, accounting and regulatory requirements. The concepts are built up sequentially and spreadsheet examples are used to develop the key ideas including parameter estimation, modelling and calculation of CVA, DVA, FVA, ColVA, KVA and MVA. The portfolio nature of xVA and links between different terms is considered in detail. All relevant regulatory and accounting requirements such as minimum capital requirements, the leverage ratio, the LCR/NSFR and future rules such as SA-CVA are discussed. The impact of initial margin via mandatory central clearing and the uncleared margin rules (UMR) are fully assessed. Initial margin methodologies at CCPs and in bilateral markets (ISDA SIMM) are also described. xVA implementation and hedging will also be discussed, with particular attention being paid to current market approaches and best practice. Current hot topics – such as funding assumptions, return on capital, treatment of initial margin, wrong-way risk and speeding up xVA calculations – will also be explored.
Dirigido A:
• xVA desks
• Derivatives traders, structurers and salespeople
• Treasury and Finance departments
• Risk managers (market and credit)
• Product control
• Legal
• Quantitative analysts and technology
• Regulators
• Software vendors
Highlights
The Latest From The Best
Conoce a nuestro profesorado
Jon Gregory
xVA Expert
Jon Gregory es un experto independiente especializado en riesgos de contraparte y proyectos relacionados con xVA. Ha trabajado en muchos aspectos del riesgo crediticio en su carrera, anteriormente estuvo en Barclays Capital, BNP Paribas y Citigroup. Es asesor senior de Solum Financial Derivatives Advisory y miembro de la facultad del Certificate of Quantitative Finance (CQF). También forma parte de la Junta Asesora Académica de IHS Markit y es Editor Gerente de la revista Quantitative Finance. Además de publicar artículos sobre la fijación de precios del riesgo de crédito y temas relacionados, Jon es autor del libro “Counterparty Credit Risk The New Challenge for the Global Financial Markets” publicado por Wiley Finance en diciembre de 2009 y “Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives.”, y más recientemente “The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin”. Jon tiene un doctorado de la Universidad de Cambridge.
