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Managing, Calculating & Pricing CVA Across Portfolios

09.00 10.30 Niels Charpillon: Senior Quantitative Analyst, FIRST, BNP Paribas

Portfolio Contingent Pricing: Selected Topics

  • Architecture for an all-in-one platform (CVA/DVA, FVA, Collateral optimization, etc…)
  • Consistency in valuation and simulation
  • American Monte Carlo
  • Wrong/Right Way Impacts

10.30 – 10.50 Break

10.50 12.30: Dariusz Gatarek: CVA, Risk Methodology Specialist, Unicredit

A New Model for Default Correlation

In the talk we present a new, intuitive but mathematically powerful model of dependent defaults and derives a general framework for pricing products whose values depend on credit correlation between the counterparty and the reference entity. The dependence framework is a natural extension of the Gaussian factor approach, which can be applied in the context of reduced form credit risk models, allowing i.a. for stochastic hazard and recovery rates. The prices of plain vanilla credit default swaps and default swaptions are derived as particular examples costs.

12.30 – 13.40 Lunch

13.40 15.10: Youssef Elouerkhaoui: Global Head of Credit Derivatives, Quantitative Research, Citigroup

Managing CVA, DVA and FVA for Credit Portfolios

  • Motivation: CVA, DVA and FVA risk mitigation for Credit
  • The Master Funding Equation with CVA, FVA and FVO
  • The Fundamental Invariance Principle for Funding and CVA
  • FVA vs FVO
  • CVA in the Enlarged Filtration
  • Credit Options Revisited: Impact of the Choice of Filtration
  • Wrong-Way Risk vs Gap Risk

15.10 - 15.30: Break

15.30 - 16.50: Gordon Lee: Executive Director, Portfolio Quantitative Analytics

Slicing the Cake - Review of Practical Methods in Allocating CVA, PFE and RWA

  • Why we need to allocate CVA / RWA
  • Why it can be counter productive to do such allocation
  • Stand alone "Naive" allocation
  • Practical consideration in applying trade level marginal allocation and Euler allocation
  • PFE Scenario Analysis using the bootstrap
  • Risk factor based allocation (Hoeffding Decomposition)

16.50 17.50 CVA Panel

Panelists:

Serguei Issakov: Global Head of Quantitative Research, Numerix
Gordon Lee: Director, CVA Quant Team, UBS
Alexander Sokol: CEO and Head of Quant Research, CompatibL 
Mihail Turlakov:
Head of CVA/FVA, Sberbank CIB

This panel will focus on the practical aspects of CVA through it's ever changing complex evolution. Now the compliance deadline has passed we will examine the impact of regulatory changes and capital charges on running a CVA desk. The latest CVA modelling techniques will be discussed, as well as a more holistic view of the whole process rather than focusing on the math models only. Discussions will also include reviewing how to manage, calculate & price CVA across portfolios and the balance sheet. Furthermore, we explore the need for CVA computational, acceleration & speed ups and the much debated evolution of funding value adjustments. 

  • Discussing the latest strategies for XVA management, pricing adjustments & desk organization
  • How are CVA desks changing in regards to FVA, and should FVA & CVA be managed on the same desk? Multiple or Central CVA desks?
  • Can we reconcile the different views on FVA computation
  • What does the industry need to agree on and can these differences be resolved?
  • Explore how to manage, calculate & price CVA across portfolios and the balance sheet.
  • Reviewing CVA across portfolios: A more holistic view.
  • What are the latest strategies on trading techniques?
  • How will capital charges and the impact of regulatory changes influence the business and what is the current role of the Clearing Houses?

17:50: Networking Reception