FVA: Present and Future Challenges

London September 4 2013

With so much intrigue and uncertainty surrounding FVA this timely seminar will provide a forum for practitioners to gather together and debate key issues.

Learning Outcomes

  • Consider quantitative techniques for calculating FVA
  • Panel discussion debating CVA desk and Treasury view of FVA
  • Consider the interaction between FVA and other metrics including wrong way risk
  • In depth discussion on FVA optimization and collateral trading strategies
  • Presentation on approaches to auditing FVA and related processes
  • Benchmark practices against other industry specialists

Course Tutors

  • Claudio Albanese, Professor, Department of Mathematics, Kings College London
  • Lucio della Ratta, Audit Director, Risk and Treasury, Barclays
  • Moises Gerstein, Head of Emerging Markets, CVA Trading, ING Bank
  • Chris Kenyon, CVA / FVA Quantitative Research, Lloyds
  • Igor Smirnov, Head of Fixed Income Quant Research Europe, Banco Santander
  • Youssef Elouerkhaoui, Managing Director, Markets Quantitative Analysis, Citi
  • Ignacio Ruiz, founder iRuiz Consulting and former Head strategist, Counterparty Risk exposure measurement, Credit Suisse

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