XVA: Credit, Funding and Capital Valuation Adjustments New York

This two day training course includes sessions on assessing the links between different XVAs and tackling the challenges caused by data management and new technology. This course will also look at market possibilities and changes, and discuss the accounting of XVAs, as well as providing overviews of FVA, CVA, DVA, KVA and MVA.

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XVA: Credit, Funding 
and Capital Valuation Adjustments
New York, 16-17 May 2018

View the Agenda

Risk Training is delighted to bring this training course to New York following exceptional delegate feedback in London last year!

XVAs provide the financial industry with a lot of opportunities, particularly as new valuation adjustments develop and as valuation adjustments like CVA and FVA continue to add value. But with these opportunities come complexities because of the practical, regulatory, accounting, methodological and technological questions that each company has to face when dealing with XVAs. 

This two day training course has been designed to help you face these questions with sessions on assessing the links between different XVAs and tackling the challenges caused by data management and new technology. This course will also look at market possibilities and changes, and discuss the accounting of XVAs, as well as providing overviews of FVA, CVA, DVA, KVA and MVA.

Confirmed Speakers:

  • Shelta Kodjo, Managing Director, Head of Quantitative Strategies, Mizuho Securities
  • Agostino Capponi, Assistant Professor, Columbia University
  • Dmitry Pugachevsky, Research Director, Quantifi
  • Steve Yalovitser, Director, XVA Quant Core Lead, Wells Fargo
  • Antonina Harden, Senior Quantitative Specialist, OTC Derivatives, National Futures Association
  • Naresh Malhotra, Director, KPMG LLP
  • Ming Shi & Mike Mahoney, Senior Managers, Ernst & Young
Course Highlights:
  • Industry experts and experienced practitioners make up a multi-speakers format
  • Comprehensive overview of FVA, CVA, DVA, KVA & MVA
  • Update on industry reaction and market possibilities & changes
  • Explanation of XVA methodologies, use, and how to calculate them
  • Case studies, examples and experience that put XVA into practice
  • Assessment of the impact of XVA on accounting
  • Exploration of technology options and data management for XVA
Who Should Attend:

The course will be of benefit to those who are looking to increase their understanding of the use of XVAs. Those working in the following areas may find the course particularly relevant:

  • XVA Trading
  • FVA/CVA/DVA//KVA/MVA
  • XVA Modelling
  • Risk Manager
  • Structured Credit Valuation/Trading
  • Counterparty Risk Management
  • Credit Risk
  • Market Risk 
  • Funding/Capital Management
  • Quantitative Modelling
  • Compliance
  • Internal Auditor
Learning Outcomes:

By the end of the two days, delegates will have new or improved knowledge of:

  • The different methodologies and how to calculate and use CVA, DVA, FVA, KVA & MVA
  • How the industry is using XVAs
  • The impact of XVA on accounting and your P&L
  • Technology options for XVA and data management
  • Combining XVA

Downtown Conference Center

157 William Street
New York
NY 10038
T: 1-212-618-6990  
Toll free- 877-DCC-MEET (322-6338)

Venue information

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