Calypso Learning Services

Nasdaq Calypso Education and Learning Services together with the Research and Development Team has conducted a training series on the XVA Module. This training will introduce you to all the latest developments and key features of the XVA module (Enhancements during 2023-24 )

The agenda of the training session is mentioned below

Day 1

• MCSEM Enhancements
• Rollover of FX Forward and FX Swap in XVA
• BVA Accounting Postings
• CVA for CCDS / Risk Participation Swaps
• PFE/XVA Stress testing using cross-asset multifactor scenarios
• FVA Sensitivities - Separating Cost & Benefit Spreads
• Q & A

Day 2

• XVA Explained
• Dynamic Hydration during intraday processes
• XVA Accelerator
• Trade bundle level exposure netting
• Supporting Commodity Reset-based products in XVA
• Performance improvement of Cancellable Bermudan Swap
• Handling reporting of the same error multiple times generated from multiple tasks in CCR Analysis
• Upcoming Enhancements
• Q & A

Previous Enhancements

Day 1

• Introduction
• Model Calibration – HWM
• Netting Sets
• Installation, STs, Domain values, Env properties 
• XVA Results - CCR Analysis Config and CCR Viewer

Day 2 

• Exposure Profiles 
• Credit Tagging 
• Valuation Adjustments 
• Ratings Based Credit Curves
• Incremental Valuation Adjustments + Intraday baseline update
• WhatIf View 

Day 3 

• Marginal Valuation Adjustments and GL Postings 
• Sensitivity Analysis 
• XVA Internal Routing 
• Recent / Upcoming Enhancements