This is an advanced three-day course giving attendees broad and deep knowledge to understand, implement and manage XVA’s.
It starts from describing pricing under CSA and multicurve and then builds a modelling framework for implementing an efficient XVA platform. It describes CVA/DVA, Funding and Capital adjustments from modelling and regulatory aspects to accounting choices up to market best-practice and cutting-edge issues, with both detailed break-down and global aggregation.
Sections are devoted to Initial Margin, Collateral Currency options and other adjustments and mitigations. It concludes describing hedging under both a strategic and an implementation point of view.