KVA & MVA: From Fundamentals to Practical Applications

 19 - 20 
THE KINGSLEY HOTEL, 36-37 Bloomsbury Way, London WC1A 2LD, UK
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About the Course:

The course, which will be led by Andrew Green and Chris Kenyon from Lloyds Bank, will start with the fundamentals of capital and Initial Margin, covering topics such as regulation with pricing impact, CCP cost, and KVA and MVA by replication and regression. The second day will focus on portfolio and balance sheet covering topics such as KVA at portfolio level and the leverage ratio and risk warehousing pricing.


Course Highlights:

  • Unified theoretical and practical framework for pricing and hedging KVA and MVA within XVA
  • Capital pricing by replication
  • Pricing Initial Margin by replication and regression
  • Pricing effects of credit risk warehousing including capital and pricing open risk
  • Inclusion of the balance sheet in pricing and feedback of PnL into capital

Learning Outcomes:

  • Sound theoretical foundation for post-crisis pricing including capital and Initial Margin
  • Understand how to price capital into trades and how to hedge capital costs
  • Understand how to price lifetime costs of Initial Margin efficiently
  • Practical framework for quantifying trade-offs between credit risk warehousing, capital costs, Initial Margin and clearing costs consistently with risk appetite
  • Understand the balance sheet feedback loop from PnL into capital


  • Andrew Green, Head of Quantitative Research - CVA/FVA, Lloyds Bank
  • Chris Kenyon, Director, Quantitative Research - CVA/FVA, Lloyds Bank

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