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PART 2: 1. Background • History. • What is xVA? • Accounting. • Regulation.

2. Components. • Credit exposure. • Simulating exposure. • Collateral. • Risk-neutral default probabilities.

3. CVA and DVA. • CVA formulas and examples. • Wrong-way risk. • Incremental CVA. • Impact of collateral on CVA. • Bilateral CVA.

4. Funding and FVA. • FVA market practice. • FVA formulas and examples. • CVA/DVA/FVA framework. • Defining funding costs. • Symmetric of FVA.

5. Regulatory Capital and KVA. • Regulatory Capital. • Capital Methodologies. • Future impact of SA-CCR and FRTB. • Capital value adjustment (KVA). • KVA example.

6. Central Clearing and Bilateral Margining. • Central clearing. • CCP mechanics and risk Management. • CCP margin requirements. • Bilateral margin requirements (SIMM). • MVA (margin value adjustment).

Counterparty Risk CVA-xVA 2018 Ing  
Counterparty Risk CVA-xVA 2018 Ing