XVA NY Agenda

Agenda

Event Tutors:

  • Antonina Harden, Senior Quantitative Specialist, National Futures Association
  • Mike Mahoney, Senior Manager, EY
  • Xinxin Yu, Senior Consultant, EY
  • Hovik Tumasyan, FinRisk Solutions
  • Naresh Malhotra, Director, KPMG 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

CVA & DVA

  • DVA/bilateral CVA
  • Modelling collateral
  • Extension of the CVA modelling framework to XVA
  • Wrong-way risk

13:00

Lunch

14:00

FVA

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

15:30

Afternoon break

16:00

Front Office Pricing Challenges Facing XVA Desks

  • Desk requirements
  • Data management & XVAs
  • Data challenges: organizational, operational, technical
  • Running a compute 
  • Analyzing your results 
  • Case study
  • Looking ahead

Speaker: Naresh Malhotra, Director, KPMG US 

17:30

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?

11:00

Morning break

11:30

MVA

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

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