Mini-course on Counterparty and Valuation Risks

Contents:

• Derivative pricing in presence of counterparty risk - Introduction to Counterparty Credit Risk and modern derivative pricing - The Credit Valuation Adjustment, concept and formula derivation - Beyond CVA: funding needs, the Funding Valuation Adjustments and other XVAs
• XVA implementation; the Prudent Valuation - Practical Implementation of an XVA engine: concept, examples, challenges - Introduction to the Prudent Valuation framework, between accounting and regulatory requirements

Prerequisites: Stochastic calculus, Ito’s lemma, Brownian motions and related stochastic processes, martingale pricing, SDE. Understanding of financial markets, banking activities and main financial derivatives. Knowledge in programming with hands-on experience, Monte Carlo implementations.]

About the lecturer: Luca Sitzia is Senior Financial Risk Quant at UniCredit. He holds a master in mathematical engineering at Turin Polytechnic, a master in Applied Probability at Paris Marne-La-Vallée University, and a PhD in Statistics and Finance at Turin University. He cooperates with several universities as a teacher. His fields of expertise cover financial modelling for pricing, counterparty risk, XVAs, prudent valuation and adjustments, behavioural models for ALM, liquidity and interest rate risks. In recent years he is exploring various applications of advanced analytics, big data, machine and deep learning techniques.

Event details

Date:May 20 and 21, 2026

Time:13.30 - 16.30

Venue:Dept. of Mathematics, room 2AB40

Address:via Trieste 63

Type:mini-course

Organizer:Prof. Giorgia Callegaro and Prof. Claudio Fontana