XVA NY Agenda

Agenda

Event Tutors:

  • Shelta Kodjo, Managing Director, Head of Quantitative Strategies, Mizuho Securities
  • Agostino Capponi, Assistant Professor, Columbia University
  • Dmitry Pugachevsky, Research Director, Quantifi
  • Steve Yalovitser, Director, XVA Quant Core Lead, Wells Fargo
  • Antonina Harden, Senior Quantitative Specialist, OTC Derivatives, National Futures Association
  • Arpit Narain, Director, Risk Analytics, KPMG LLP
  • Ming Shi & Mike Mahoney, Senior Managers, Ernst & Young

Day 1 | Wednesday 16th May

09:00

Registration and refreshments

09:30

XVA & CVAs

  • Introduction: how did we get here, importance of XVA to industry
  • CVA scenario simulation and pricing
  • CVA sensitivities, hedging and P&L
  • Market possibilities and changes

Speaker: Mike Mahoney, Senior Manager, EY
                Ming Shi, Senior Manager, EY
   

11:00

Morning Break

11:30

CVA & DVA

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

Speaker: Agostino Capponi, Assistant Professor, Columbia University

13:00

Lunch

14:00

FVA

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

Speaker: Dmitry Pugachevsky, Head of Research, Quantifi

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: Steve Yalovitser, Director, XVA Quant Core Lead, Wells Fargo

17:30

End of day one

Day 2 | Thursday 17th May

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

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

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: Arpit Narain, Director, Risk Analytics, KPMG 

15:30

Afternoon break

16:00

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? 

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

17:30

End of course