XVA Advanced Methods in Risk Management
This course considers the application of advanced methods in Risk Management, focusing on
various important applications such as the Fundamental Review of the Trading Book (FRTB),
Valuation Adjustments (xVAs), model risk and regulatory calculations. Advanced methods such as
Neutral Networks, Algorithmic Differentiation and Parallel Computing are covered with practical
implementation case studies provided.
The concepts are built up sequentially and spreadsheet examples are used to develop the key ideas.
Specific examples include the calculation of sensitivities for xVAs, scenario analysis and stress testing,
the calculation of expected shortfall under the FRTB-IMA, the modelling of wrong-way risk (WWR) and
tackling big data problems.
Horas:
14
14
Sesiones:
2
2
Fechas:
2024-08-23
2024-08-23
Horario:
VIE 11:00 AM - 06:00 PM SAB 8:00 AM - 01:00PM
VIE 11:00 AM - 06:00 PM SAB 8:00 AM - 01:00PM
Descripción
This course considers the application of advanced methods in Risk Management, focusing on
various important applications such as the Fundamental Review of the Trading Book (FRTB),
Valuation Adjustments (xVAs), model risk and regulatory calculations. Advanced methods such as
Neutral Networks, Algorithmic Differentiation and Parallel Computing are covered with practical
implementation case studies provided.
The concepts are built up sequentially and spreadsheet examples are used to develop the key ideas.
Specific examples include the calculation of sensitivities for xVAs, scenario analysis and stress testing,
the calculation of expected shortfall under the FRTB-IMA, the modelling of wrong-way risk (WWR) and
tackling big data problems.
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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.
