XVA NY Agenda

Agenda

Event Tutors:

  • Antonina Harden, Senior Quantitative Specialist, National Futures Association
  • Mike Mahoney, Senior Manager, EY
  • Xinxin Yu, Senior Manager, EY
  • Hovik Tumasyan, FinRisk Solutions
  • Yubing Luo, Director, Citi 
  • Shelta Kodjo, Managing Director, Head of Quantitative Strategies, Mizuho Securities USA LLC
  • Gavin Xu, Senior Vice President, HSBC US

Day 1 | Wednesday 14 November

09:00

Registration and refreshments

09:30

XVAs - The Genesis

  • Introduction: how did we get here, importance of XVA to industry
  • Ten years since the financial crisis 
  • Pre and post - crisis pricing of derivatives 
  • The state of the XVA debate 

Speaker: Hovik Tumasyan, FinRisk Solutions

11:00

Morning Break

11:30

Introduction to XVA 

  • A deeper dive into CVA/DVA 
  • An intro into MVA and KVA 
  • Forward IM and impact to XVA 

Speakers: Mike Mahoney, Senior Manager, EY

                  Xinxin Yu, Senior Manager, EY 

13:00

Lunch

14:00

FVA

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

Speaker: Gavin Xu, Senior Vice President, HSBC US 

15:30

End of day one 

 

 

 

 

Day 2 | Thursday 15 November

09:00

Refreshments

09:30

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?

Speaker: Yubing Luo, Director, Citi 

11:00

Morning break

11:30

MVA

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

Speaker: Shelta Kodjo, Managing Director, Head of Quantitative Strategies, Mizuho Securities USA LLC

13:00

Lunch

14:00

Case Study: Putting XVA into practice

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

Speaker: Antonina Harden, Senior Quantitative Specialist, National Futures Association 

15:30

Afternoon break

16:00

The Future of XVA

  • A second look at pricing derivatives and XVAs
  • Market infrastructure and systemic aspects of XVAs
  • Where to now? 

Speaker: Hovik Tumasyan, FinRisk Solutions

17:30

End of course