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XVA: Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA and FVA


Derivatives Pricing in the New Framework: OIS Discounting, CVA, DVA and FVA.
Presenter: Luis Manuel García Muñoz: Head of Interest Rates, Credit and CVA Quant Teams, BBVA

Course Running Time: 7 Hours

Session 1: (Running Time: 1:22:39)

Session 2 (Running Time: 1:47:44)

Session 3: (Running Time: 1:05:29)

Session 4 (Running Time: 46:15)

Session 5: (Running Time: 1:07:26)

Session 6 (Running Time: 1:06:35)

We will analyze the valuation of OTC derivatives exploring the effect of collateral, funding and counterparty credit risks. 

The first part of the presentation will be devoted to the valuation of collateralized derivatives. We will analyze the effect of different collateralization schemes and reformulate the fundamental theorem of asset pricing under this multiple discounting curves environment associated to different collateralization schemes. 

The second part will be focussed on CVA, DVA and FVA. CVA and FVA will be deduced using hedging arguments. We will analyze the problem of DVA hedging and explore CVA hedging under incomplete markets.

Bullet Points:

  • OIS discounting.
  • Effect of collateral different from cash denominated in the deals currency.
  • Interest rate modeling in a multiple discounting curves frameworks.
  • CVA and FVA as hedgeable risks.
  • The problem of DVA hedging.
  • CVA hedging under incomplete markets. 


Credit Risk

Published date

1 April 2014



Presenter Bio

Luis Manuel García Muñoz

Luis García works for BBVA, where he is the head of interest rate, credit and CVA quant teams. He has been working as a quantitative analyst since 2005. He obtained a bachelor in industrial engineering from ICAI, Madrid. He also holds a master in quantitative finance from AFI (Madrid) and is a CFA charter holder.