Funding, Liquidity & XVA
- COURSE DURATION:2
This is an advanced course looking at the modern theory of derivatives pricing in a world with counterparty, funding and liquidity risk.
After this course, participants will be able to:
- Explain the role and significance of the CSA to both funding and the management of counterparty risk.
- Understand quantitatively the origin of CVA and DVA adjustments.
- Understand quantitatively the origin of the XVA adjustments for funding and collateral costs.
- Understand and apply the new Basel-based regulations and ratios regarding liquidity and funding.
Traders, structurers, Treasury and finance staff.
- PRIOR KNOWLEDGE: