Professional Training
4.9 (41 Reviews)

Valuation Adjustments: The XVA Challenge

London Financial Studies, In London (+3 locations)
4 days
3,900 GBP excl. VAT
Next course start
10 June, 2024 (+6 start dates)
Course delivery
Classroom, Virtual Classroom
4 days
3,900 GBP excl. VAT
Next course start
10 June, 2024 (+6 start dates)
Course delivery
Classroom, Virtual Classroom
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Course description

Valuation Adjustments: The XVA Challenge

This course explains and describes the valuation adjustments (‘xVAs’) in pricing and valuation in relation to counterparty credit risk, collateral, funding, capital and initial margin. The concepts are built up sequentially and workshops are used to develop the key ideas including simulation of exposure, the impact of risk mitigants, collateral effects, regulation and the resulting calculation of CVA, DVA, FVA, ColVA, KVA and MVA.

During the programme, participants will examine the impact of accounting requirements (IFRS 13, FASB 157) on valuation adjustments and the IHS Markit Totem xVA consensus pricing. The programme will also address regulatory capital rules in detail – with the impact of the CVA capital charge and future changes such as SA-CCR, SA-CVA, FRTB and the leverage ratio. Funding, including the impact of the LCR and NSFR liquidity requirements for banks, is comprehensively discussed. The impact of initial margin via mandatory central clearing and the uncleared margin rules (UMR) are fully assessed. Initial margin methodologies at CCPs and in bilateral markets (SIMM) are also described.

The portfolio nature of xVA and links between different terms is considered in detail. xVA implementation and hedging will also be discussed, with particular attention being paid to current market approaches and best practice – areas where a clear consensus has not yet emerged or where there may be changes in the future will be highlighted and discussed. Current hot topics – such as funding assumptions, return on capital and the treatment of initial margin – will also be explored.

Participants will be able to take away all worked examples and additional exercises and models implemented using Excel functions and macros. They will also receive the latest edition of Jon's book "The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin" published by Wiley Finance.

The programme is divided into three distinct topics:

  • Basics and Counterparty Credit Risk
  • Credit and Funding (CVA/FVA)
  • Capital and Initial Margin (KVA/MVA)

Upcoming start dates

Choose between 6 start dates

10 June, 2024

  • Classroom
  • London
  • English

10 June, 2024

  • Virtual Classroom
  • Online
  • English

16 September, 2024

  • Classroom
  • London
  • English

16 September, 2024

  • Virtual Classroom
  • Online
  • English

Enquire for more information

  • Classroom
  • New York
  • English

Enquire for more information

  • Classroom
  • Singapore
  • English

Jon Gregory (Course leader)

Dr Jon Gregory is an independent expert specializing in counterparty risk and xVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is also a senior advisor at Solum Financial Derivatives Advisory.

Jon is author of the books “The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin” (now in its fourth edition) and “Central Counterparties: The Impact of Mandatory Clearing and Bilateral Margin Requirements on OTC Derivatives”, both published by Wiley Finance.

Jon holds a PhD from Cambridge University.

Wiley Finance Published Author.

Suitability - Who should attend?

"Valuation Adjustments: The XVA Challenge" course has been designed for financial risk professionals including:

  • Banks, end-users of derivatives, regulators, consultants, software providers and other third parties
  • xVA desks
  • Derivatives traders, structurers and salespeople
  • Treasury and Finance departments
  • Regulatory capital and reporting
  • Risk managers (market and credit)
  • IT, product control and legal
  • Quantitative researchers
  • Portfolio managers
  • Operations / Collateral management

Outcome / Qualification etc.

Learning Objectives:

  • Gain familiarity with all the different valuation adjustments, their foundations and how they interact with each other
  • Learn how to calculate each xVA through real-world, practical examples
  • Analyze the impact of regulation and accounting requirements
  • Gain an understanding of the current best market practice and cutting-edge developments

At the end of the course, participants will receive a certificate issued by LFS.

This course is FTS-Eligible*. GARP & CFA Institute members are eligible for 24 CE/CPD credits.

*FTS Eligible
This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is eligible for FTS claims subject to all eligibility criteria being met. Please note that in no way does this represent an endorsement of the quality of the training provider and programme. Participants are advised to assess the suitability of the programme and its relevance to participants' business activities or job roles. The FTS is available to eligible entities, at a 50% funding level of programme fees subject to all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme Directory with the specified validity period.

Training Course Content

Day One

Basics and CCR Introduction

  • Overview and historical background
  • The impact of regulation and accounting
  • The importance of capital and funding costs
  • What is xVA?

Counterparty credit risk

  • Credit exposure
  • Credit limits and PFE
  • EFV, EPE and ENE
  • Incremental and marginal exposure

Example: PFE example

Mitigating Counterparty Risk

  • Netting and compression
  • Resets and ATEs
  • Collateral
  • Initial margin
  • Central counterparties

Example: Compression example

Day Two

Collateral, Exposure and CVA Collateral and discounting

  • Variation margin and collateral discounting
  • Cheapest-to-deliver valuation
  • Discounting to ColVA
  • Funding and discounting

Example: ColVA calculation

Exposure simulation

  • Challenges of exposure simulation
  • Models and calibration for each asset class
  • Proxies and correlations
  • Implementation with Monte Carlo
  • Modelling resets and collateral

Example: FX forward and IRS simulation


  • Proxy spread approaches
  • CVA formulas
  • Impact of collateral on CVA
  • Wrong-way risk
  • Bilateral CVA

Example: CVA/DVA calculation

Day Three

Funding and Capital Funding and FVA

  • NSFR and LCR and IBOR replacement
  • FVA formula and link to discounting approach
  • Capturing one-way CSAs
  • CVA/DVA/FVA framework
  • Asymmetric FVA

Example: FVA calculation

Managing and Hedging xVA

  • Bank approaches to hedging xVA
  • xVA greeks
  • Hedging instruments
  • P&L explained
  • Proxy hedging

Example: xVA hedging simulations

Regulatory capital requirements

  • Counterparty risk capital requirements
  • Cleared vs. non cleared capital requirements
  • Review of capital methodologies
  • SA-CCR
  • The leverage ratio

Example: SA-CCR vs. IMM

Day Four

KVA and Initial Margin Capital and KVA

  • Return on capital in banks
  • Capital value adjustment (KVA)
  • KVA management strategies
  • Initial margin in SA-CCR and IMM approaches
  • FRTB and BA-CVA / SA-CVA

Example: KVA calculation

Initial Margin and MVA

  • Bilateral margin rules
  • CCP initial margin methodologies
  • The ISDA SIMM™
  • MVA
  • Initial margin optimisation

Example: SIMM and MVA calculations

Recap and advanced topics

  • Overlaps and portfolio effects
  • xVA examples under different CSAs
  • xVA optimisation
  • Wrong-way risk
  • Asymmetric FVA
  • Approach to capital and KVA

Course delivery details

Courses are delivered in the London classroom and live online via LFS Live in London, New York, and Singapore time zones.

Please contact LFS for more details.

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Average rating 4.9

Based on 41 reviews.
Write a review!
06 Oct 2020
The Teacher Concised the Subject Perfectly

To begin with, I found the course a little challenging, but the teacher was understandable and communicative, and he was able to concise this subject perfectly. He related every...

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16 Aug 2020
I Highly Recommend

I highly recommend the XVA Challenge course administered by LFS.

30 Jun 2020
This was really terrific!

This was really terrific! The xVA Challenge by London Financial Studies offered a fantastic blend between rigorous theory and cutting-edge practice. I very much enjoyed the pers...

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