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XVA Master Class by Massimo Morini: Complete Parts 1 & 2
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
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
Topic
Credit RiskPublished date
17 September 2015Price
£198.00Related workshops
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