Credit Value Adjustment (CVA) Calculation and Implementation Masterclass
CVA and the wider XVA family made implementable — exposure simulation, risk mitigants and the Basel III capital charge, built up sequentially in workshops.
Format
Classroom · Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
Basel III changed counterparty credit risk from a pricing footnote into an infrastructure programme — and while a small number of banks actively manage CVA, the complexity and cost of implementation remain a serious undertaking for the majority. This masterclass builds the valuation adjustments sequentially, so the cohort leaves able to compute them rather than merely define them. It covers the nature of credit and counterparty risk, the products that generate it, simulation of exposure, and the impact of risk mitigants such as netting and collateral. Workshops then develop the full XVA family — CVA, DVA, FVA, ColVA, KVA and MVA — alongside the CVA capital charge under Basel III’s Standardised Approach and its alignment with the revised market risk framework.
What you will do
Who attends
- Derivatives traders, structurers and salespeople
- Risk, treasury and asset-liability management teams
- Basel implementation, ICAAP and ILAAP teams
- Regulatory capital, reporting and compliance professionals
- Collateral management, product control, legal and IT
Programme agenda
Built for the decisions no textbook prepares you for
I.Counterparty credit risk
- The nature of credit and counterparty risk
- Products that give rise to counterparty exposure
- OTC derivatives documentation and its development
II.Exposure and mitigants
- Simulation of exposure, including Expected Positive Exposure
- Netting and collateral effects
- Situations in which counterparty risk arises
III.The XVA family
- CVA calculation and its use in financial institutions
- DVA, FVA, ColVA, KVA and MVA
- Pricing and valuation adjustments across collateral, funding, capital and initial margin
IV.Capital and implementation
- The CVA capital charge under Basel III’s Standardised Approach
- Targeted final revisions to CVA risk and alignment with the market risk framework
- Implementation infrastructure, cost and sequencing
Frequently asked
What does the CVA masterclass cover beyond CVA itself?
Workshops develop the full XVA family — CVA, DVA, FVA, ColVA, KVA and MVA — built sequentially from the nature of counterparty risk, the products that generate it and the simulation of exposure. The programme also covers the CVA capital charge under Basel III’s Standardised Approach and its alignment with the revised market risk framework.
Will I be able to calculate CVA after the course, or just define it?
Calculate it. The valuation adjustments are built up sequentially in workshops so the cohort leaves able to compute them from simulated exposure — including quantifying the impact of risk mitigants such as netting and collateral — rather than merely recognise the definitions.
Who should attend the CVA implementation training?
Derivatives traders, structurers and salespeople, risk, treasury and ALM teams, Basel, ICAAP and ILAAP implementation teams, regulatory capital and reporting professionals, and collateral management, product control, legal and IT. Delivery is in English or French, with an in-house edition tailored to your institution; dates and fees are confirmed on enquiry.
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In their words
Knowledge transfer, emphasised throughout
“We worked with BIZENIUS for our Fresh Graduates Programme — they are simply amazing. Knowledge transfer and practical learning were emphasised throughout.”
Kuwait Investment Authority
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The training programme that became national regulation
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The Capability Arc™
Fix it · Advisory
Advisory & Consultancy
A senior bench across risk, treasury and regulation.
Learning is one point on the Capability Arc. Many institutions pair this programme with the advisory engagement — and automate what the framework demands.
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