FVA: Present and Future Challenges

New York September 10 2013

With so much intrigue and uncertainty surrounding FVA, this timely seminar will provide a forum for practitioners to gather together and discuss 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
  • John Hull, Maple Financial Chair in Derivatives and Risk Management, Joseph L. Rotman School of Management, University of Toronto
  • Lucio della Ratta, Audit Director, Risk and Treasury, Barclays
  • Suyan Liu, Head Quant of Exposure & CVA - Enterprise Risk Strategic Research, Bloomberg LP
  • Terry Benzschawel, Managing Director, Bond Portfolio Analysis - Quantitative Strategy, Citi
  • Harvey Stein, Head, Regulations and Default Modeling, Bloomberg LP

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