Course Description

This course takes you deep dive into Calypso's XVA module. 

It will start with the required setup you need to understand and define XVA. You will learn all the different XVAs supported in Calypso.

You will also learn how to use the corresponding windows.

The course consists of modules including full configuration details, trade definition, reporting, analysis, and methodologies.

Course curriculum

  • 1

    What is XVA?

    • Course Overview

    • Introduction

    • What is XVA?

    • Practical Example
  • 2

    XVA in Calypso

    • XVA in Calypso
  • 3

    Installation and Requirements

    • Installation and Requirements
  • 4

    Legal Agreements

    • Legal Agreements
  • 5

    Credit Tagging

    • Credit Tagging
  • 6

    Data Grid

    • Data Grid
  • 7

    CCA Analysis

    • CCA Analysis
  • 8

    Monte Carlo XVA

    • Market Data Requirements

    • LMM Model Calibration

    • HWM Model Calibration

    • Real World Model Calibration

    • XVA Results

    • XVA Incremental Calculations

    • XVA Sensitivity

    • XVA Scenario Editor

    • XVA Internal Routing

    • XVA Accounting
  • 9

    MCPFE

    • Real World Calibration

    • MC PFE Results

    • MC PFE Incremental Calculations

    • Ch 9 MC PFE EOD LIMITS
  • 10

    XVA optimized

    • XVA Optimized

    • XVA
  • 11

    Test Your Knowledge

    • Assessment
  • 12

    FAQs

    • FAQs