Financial Engineering: Interest Rates and xVA Lecture 12- part 3/3, Valuation Adjustments- xVA (CVA, BCVA and FVA) ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ This course is based on the book: "Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes", by C.W. Oosterlee and L.A. Grzelak, World Scientific Publishing, 2019. ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ - Codes and the slides can be found at: https://github.com/LechGrzelak/FinancialEngineering_IR_xVA - See https://quantfinancebook.com/ for more details and for additional materials. - Course syllabus can be found at: https://CompFinance.ddns.net/wordpress/free-courses/ ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ 0:00 Introduction 3:41 Approximations in Calculation of CVA 13:12 Bilateral Credit Value Adjustment (BCVA) 23:48 Funding Value Adjustment (FVA) 31:13 Trade Attributions in (B)CVA 42:15 Summary of the Lecture + Homework ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ CONTENT OF THIS COURSE: Lecture 1- Introduction and Overview of the Course Lecture 2- Understanding of Filtrations and Measures Lecture 3- The HJM Framework Lecture 4- Yield Curve Dynamics under Short Rate Lecture 5- Interest Rate Products Lecture 6- Construction of Yield Curve and Multi-Curves Lecture 7- Pricing of Swaptions and Negative Interest Rates Lecture 8- Mortgages and Prepayments Lecture 9- Hybrid Models and Stochastic Interest Rates Lecture 10- Foreign Exchange (FX) and Inflation Lecture 11- Market Models, Convexity Adjustments and Beyond *** Lecture 12- Valuation Adjustments- xVA (CVA, BCVA and FVA) Lecture 13- Historical VaR, SVaR and Expected Shortfall Lecture 14- Summary of the Course ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ #ComputationalFinance, #Python, #QuantitativeFinance, #FinancialMathematics, #MonteCarloSimulation, #OptionPricing, #Finance, #DerivativePricing, #BlackScholes, #FreeCourse, #FinancialEngineering, #Hedging, #Simulation, #Options, #xVA ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ Music: www.bensound.com