Agenda

Agenda

Event Speakers:

  • Gordon Lee, Executive Director, Portfolio Quantitative Analytics, UBS
  • Gilles Artaud, Model Risk Audit, Credit Agricole SA
  • Ben Burnett, Director, XVA Quant Team, Barclays
  • Naoufel El Bachir, Executive Director, XVA Quantitative Analytics, CIBC
  • Andrew Green, Managing Director and Lead XVA Quant, Scotiabank
  • Claudio Albanese, Chief Executive Officer, Global Valuation Ltd

Day 1 | Wednesday 20th June

08:30

Registration and refreshments

09:00

XVA & CVAs

  • Introduction: how did we get here, what XVAs are we talking about
  • Importance of XVA to industry
  • Modelling collateral
  • SIMM
  • Market possibilities and changes

10:30

Morning Break

11:00

CVA & DVA

  • DVA/bilateral CVA
  • Extension of the CVA modelling framework to XVA
  • CVA scenario simulation and pricing
  • CVA sensitivities, hedging and P&L
  • CVA aggregation and reporting
  • Wrong-way risk

12:30

Lunch

13:30

FVA

  • FVA - new addition to XVA
  • FCA & FBA - Funding Cost and Benefit Adjustments 
  • FVA debates
  • Trade profitability

15:00

Afternoon break

15:30

Technology & Data Management

  • Data management & XVAs
  • Approaches to semantic data unification: data mapping, Nifi, Roslyn
  • The role of GPU's and FPGA acceleration devices 
  • Distributed computing versus in-memory solutions
  • Optimising the mathematics to the hardware
  • From XVA calculations to capital and funding optimsation

17:00

End of day one

Day 2 | Thursday 21st June

08:30

Refreshments

09:00

KVA

  • KVA - explanation, use and calculation
  • Methodologies
  • Different approaches to calculating KVA - industry debate
  • Estimating KVA for IMM and Non-IMM
  • KVA and FVA - overlaps?

10:30

Morning break

11:00

MVA

  • MVA - explanation, use and calculation
  • Methodologies
  • Cost of MVA
  • MVA by replication and regression 

12:30

Lunch

13:30

Case Study: Putting XVA into practice

  • Example: Margining
  • What does XVA mean for initial margin
  • Combining XVAs successfully
  • Value-add of XVA crossover

15:00

Afternoon break

15:30

The Future of XVA

  • The debate over the role of XVA - adding value or adding complexity? 
  • How can XVA help companies going forward?
  • Impact of XVA on your P&L
  • FRTB-CVA
  • What's next? 

17:00

End of course