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XVA Master Class

The Quants Hub (part of the WBS Training group) is a comprehensive online resource for Quantitative Analysts, Risk Managers, Structuring and Trading Desks, Model Validation, Programmers & Developers & Financial Engineers that combines video training from world-renowned expert instructors with a rich library of content for self-paced, distance learning. This platform empowers you and your institution to create an individualised bespoke educational library resource.

XVA Master Class

Buy XVA Master Class by Massimo Morini: Complete Parts 1 & 2 Now

Course Running Time: 11 Hours


Outline XVA Master Class by Massimo Morini: Part 1

  • A decade that changed markets and models
  • The CSA price
  • Maths of Collateral
  • Multicurve
  • XVAS -Introduction
  • CVA and DVA foundations
  • FVA and FVA Debate
  • FVA -Interactions with Credit
  • FVA –Accounting
  • FVA –Maths
  • Fair Value and Prudent Valuation
  • Breakup Clauses
  • The Closeout Debate

Outline XVA Master Class by Massimo Morini: Part 2

  • Models for CVA and DVA
  • Short Rate and Libor Models
  • Wrong way Risk
  • Wrong Way Risk for CDS
  • Model Risk in Wrong Way Risk
  • Adjoint Differentiation
  • American Montecarlo
  • More on Capital and Prudent Valuation
  • Capital Value Adjustment
  • KVA vs CVA
  • P vs Q
  • Modelling under the Real Measure
  • Initial Margin Adjustment
  • Collateral Option Adjustment

About the Presenter:

Massimo Morini is Head of Interest Rate and Credit Models at IMI Bank of Intesa San Paolo, where he also coordinates modelling research. He has been a consultant to the World Bank and other supranational institutions. Massimo is Professor at Bocconi University and MSc Director at Milan Polytechnic, and he was Research Fellow at Cass Business School, London. He delivers advanced training worldwide and is regularly an invited speaker at main derivatives conferences. He has published papers in journals including Risk Magazine, Mathematical Finance, and the Journal of Derivatives, and is the author of “Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators” and other books on credit, funding and interest rate modelling. Massimo holds a PhD in Mathematics and an MSc in Economics.

Course Outline:

Introduction: (RUNNING TIME: 48 Minutes)

CSA Discount and Multicurve (RUNNING TIME: 1 Hour 21 Minutes)

CVA & DVA Foundations: (RUNNING TIME: 55 Minutes)

The FVA Debate (RUNNING TIME: 1 Hour 11 Minutes)


CVA Models (RUNNING TIME: 1 Hour 35 Minutes)

Model Risk in Correlation of Default Events (RUNNING TIME: 56 Minutes)

More on Capital and Prudent Valuation (RUNNING TIME: 1 Hour 51 Minutes)

Hull, Sokol and White & Initial Margins (RUNNING TIME: 1 Hour 19 Minutes)