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

 
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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

Academic level

Topic

Credit Risk

Published date

17 September 2015

Price

£299.00

Presenter Bio

Massimo Morini

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.