2006- X-Value Adjustment (XVA)

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Course curriculum

1. Course Overview
2. Introduction
3. What is XVA?
4. Practical Example
1. XVA in Calypso
1. Installation and Requirements
1. Legal Agreements
1. Credit Tagging
1. Data Grid
1. CCA Analysis
1. Market Data Requirements
2. LMM Model Calibration
3. HWM Model Calibration
4. Real World Model Calibration
5. XVA Results
6. XVA Incremental Calculations
7. XVA Sensitivity
8. XVA Scenario Editor
9. XVA Internal Routing
10. XVA Accounting
1. Real World Calibration
2. MC PFE Results
3. MC PFE Incremental Calculations
4. Ch 9 MC PFE EOD LIMITS
1. XVA Optimized
2. XVA
1. Assessment
1. FAQs