Funding Valuation Adjustment: Present and Future Challenges

New York, 16 May 2014

Course Highlights

  • Panel discussion debating CVA desk and Treasury views of FVA
  • FVA and cost of hedging
  • The impact of the FVA at portfolio level and across the capital structure of the bank
  • How is the FVA defined and how to compute it
  • Is there double-counting between FVA and DVA / CVA?
  • Emerging accounting standards for the FVA
  • Internal auditing process for the FVA
  • FVA optimisation and collateral trading strategies

Course Tutors

Chair: Claudio Albanese, Professor, Department of Mathematics, Kings College London

Massimo Cutuli, Senior Risk Manager, Goldman Sachs
Yanhua Cindy Liu, Principal, Superior Risk and Capital Advisors Susan Ma, Director, MBIA
Dan Rodriguez, Chief Risk Officer for Global Arbitrage, Credit Suisse
Janaka Withana, Head of FVA, UBS

Follow us
Programme Download
April - June 2014 Training Brochure