World Business StrategiesServing the Global Financial Community since 2000

Thursday 19th March 2020

08.30 - 09.00
Morning Welcome Coffee
09.00 - 09.45
Future Trends with MVA: Assessing the Timeline and the Role of CCPs
  • Examine the timeline for the implementation of the initial margin regulations
  • Explore the potential for increased CCP usage following the regulation and the role of bilateral trades
  • Analyse the disparity of effects upon smaller and larger banks:
    • How will the regulation affect these institutions?
  • Consider the possibility of increased vendor usage as a response to the requirements of MVA

Gonzalo Garcia-Kenny:

MD, Head of Counterparty Portfolio Optimisation Desk / CVA Trading, Citi

09.45 - 10.30
Funding Value Adjustment: Accounting Versus Economic Management Perspectives
  • Review of Balance Sheet financing management.
  • Interaction of Credit, Debit and Funding Value Adjustments.
  • Funding Value Adjustment: accounting versus economic management perspectives.

Alberto Elices:

Head of XVA Model Validation, Santander

10.30 - 11.00
Morning Break and Networking Opportunities
11.00 - 11.45
KVA Under IMM and Advanced Approaches

The two largest components of Capital Valuation Adjustment (KVA) are the costs of Counterparty Credit Risk (CCR) and CVA capital. For a bank using the most advanced capital models – Internal Models Method for CCR and the incoming SA-CVA capital –an accurate KVA involves forward simulating expected exposures (EE) over the lifetime of the portfolio – potentially a Monte Carlo in a Monte Carlo. We present a practical regression-based solution.

  • Simulating EE: from regulatory stressed real-world measure to market implied measure
  • A comparative study of regression vs brute force nested Monte Carlo
  • SA-CVA: extending from simulating forward EE to simulating forward CVA sensitivities

Justin Chan:

Head of Product Management, Risk, FIS

11.45 - 12.30
KVA is Incomplete

Matthias Arnsdorf:

Global head of Counterparty Credit Risk Quantitative Research, J.P. Morgan

12.30 - 13.30
Lunch
13.30 - 14.15
"In the Balance Redux

Mats Kjaer:

Head of Quant XVA Analytics Bloomberg LP

14.15 - 15.00
The Final Stages of the Initial Margin Regulation and its Future Impact on the XVA Desk
  • An overview of the requirements of the final initial margin regulation and the impact on the XVA desk
  • Consider the impact on the market the scope of the final regulation will pose
  • Assess the difficulties with a lack of industry standard
  • Explore the need to optimise systems in order to effectively account for MVA
  • Investigate methodologies for pricing MVA into current derivative trades

Matteo Rolle:

Senior Director, Head of In Business Risk, Capital and Collateral, Lloyds Banking Group

15.00 - 15.15
Quick Afternoon Break
15.15 - 16.00
Closing Talk: "Hey AAD where is my 2nd order XVA risk?"
  • Strategies to compute 2nd order XVA derivatives with AAD
  • Finding discontinuities affecting the 2nd order derivatives
  • Numerical convergence of path-wise risk

Dmitri Goloubentsev:

CTO, Head of Automatic Adjoint Differentiation, Matlogica

  • Discount Structure
  • Special Offer
    When two colleagues attend the 3rd goes free!

  • Conference + Workshop
    £300 Discount

  • 70% Academic Discount
    (FULL-TIME Students Only)

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