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Prudent Valuation & Capital Requirements Regulation Stream

09.00 – 10.30: Tanguy Dehapiot: Head of Valuation Risk, BNP Paribas

Prudent Value Calculations

  • Background and overview
  • Details on main categories of AVA
  • The variance ratio test
  • Diversification effect: where does it come from?
  • Requirement for some interpretations (Valuation exposure, Expected value, Day One Profit…)

10.30 – 10.50 Break

10.50 – 12.30: Dherminder Kainth: Head Of QuaRC, RBS

Practical Computation of the Prudent Valuation Adjustment

  • Model AVA and market AVA
  • Capturing correlation effects
  • Pru val for counterparty and funding effects
  • Pru val and rnivs

12.30 – 13.40 Lunch

13.40 – 15.10: Presenter to be confirmed

Modelling RWA in a post Basel III world

  • Implied EPE versus historical EPE
  • More information soon!

15.10 - 15.30: Break

15.30 - 16.15: Dmitry Pugachevsky: Director of Research, Quantifi (to be confirmed)

Cost of Collateral for Clearing

  • Initial Margin Costs and Variation Margin Costs (IMC/VMC)

16.15 - 17.00: Alexander Sokol: CEO and Head of Quant Research, CompatibL

Estimating the Real World Drift in Models for Limits, Liquidity, and Regulatory Capital Without Relying on Ad-Hoc Assumptions or Expert Opinion

  • The estimation of risk factor drift in real world models for limits, liquidity, and regulatory capital is often based on ad-hoc techniques or expert opinion
  • The popular ad-hoc techniques include assuming that the real world drift is zero or substituting the risk neutral drift for the real world drift
  • Both ad-hoc techniques can cause large model error which we will demonstrate on several realistic portfolios
  • We will then review a simple, practical, and non-subjective method of estimating the real world risk factor drift using a new concept of the “local price of risk”
  • Applications of the method to interest rates, credit spreads, inflation, FX and other risk factor types are discussed
  • The method is shown to significantly improve backtest accuracy for several benchmark portfolios compared to the ad-hoc alternatives

17.00 – 18.00: Panel: How will the latest regulations impact CVA

This panel will discuss and expand on how the latest regulations will Impact CVA:

  • Prudent Valuation
  • Challenges to Implementation of Prudent Valuation
  • Regulatory impact on initial margins
  • TVA: Tax Valuation Adjustment
  • Capital Requirements Regulation
  • Funding (FVA) & Accounting
  • EBA’s standardization effort

Panelists: (to be confirmed)

  • Marco Bianchetti: Head Of Financial Modelling & Validation, Intesa Sanpaolo
  • Gordon Lee: CVA, Funding and Capital Quantitative Analyst, UBS Investment Bank
  • Christian Kamtchueng: CTK Head Advisor, ESSEC Lecturer MSTF
  • Moises Gerstein: Head of CVA Trading Desk- Emerging Markets, ING Bank
  • Dherminder Kainth: Head Of QuaRC, RBS

18:00: Networking Reception

Stay and continue the day's discussions and network with food and drink.