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XVA: Valuation Adjustments: Pricing and Risk


Valuation Adjustments: Pricing and Risk Management

Presenter: Andrea Prampolini: Head of Counterparty Risk Management, Banca IMI 

Course Running Time: 5 Hours 15 Minutes

Session 1: (Running Time: 1:34:18)

Session 2 (Running Time: 1:04:17)

Session 3: (Running Time: 1:29:47)

Session 4 (Running Time: 1:07:55)

Adjusting the value of derivatives
  • The rise of a hybrid asset class
  • Operational evolution
  • Perspectives on value

Credit Value Adjustment

  • Counterparty risk and financial stability
  • Computing conditional expectations
  • Global calibration
  • Sensitivities
  • Transfer pricing
  • Mitigation and management

Debt Value Adjustment

  • Fair value and the law of one price
  • Hedging DVA
  • Allocation of DVA cost

Funding Value Adjustment

  • Funding cost and funding benefit
  • Evidence from the novation market
  • Managing FVA
  • Financing initial margin

Capital charge

  • Forward RWA
  • Managing the cost of capital
  • Contingent capital structure


Credit Risk

Published date

12 March 2014



Presenter Bio

Andrea Prampolini

Andrea Prampolini is Head of Counterparty Risk Management at Banca IMI, the investment banking arm of Intesa Sanpaolo, where he is responsible for CVA and DVA transfer pricing and hedging across asset classes. Within the Bank Resource Management team, he is also involved in the design of consistent charging and allocation of funding and capital costs for derivative transactions. Coming from a quantitative background, Andrea has 15 years of experience in derivatives trading and risk management, with a particular focus on interest rates, foreign exchange and credit. A frequent speaker on the theory and practice of CVA, Andrea has written several research papers on counterparty and credit risk modelling, including "Risky funding with counterparty and liquidity charges", which he co -authored. This article was published in Risk Magazine in March 2011 and is often cited as a major contribution to the ongoing FVA debate.