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Impact of Regulatory Changes, FVA & Capital Charges

09.00 – 10.30 Jon Gregory: Partner, Solum Financial Partners

The Impact of Central Clearing and Initial Margins

  • A review of regulatory requirements
  • How CCPs work
  • A closer look at initial margins
  • Margins and liquidity risk

10.30 – 10.50 Break

10.50 – 11.40 Dmitry Pugachevsky: Director of Research, Quantifi

To Clear or Not to Clear, Optimising Capital Costs

  • Current regulatory environment and its impact on clearing
  • Initial and variation margins
  • Credit risk capital charges
  • OTC trade profitability analysis
  • CCP selection

11.40 - 12.30 Claudio Albanese: Professor, Department of Mathematics, King’s College London & CEO: Global Valuation Limited

Accounting for the FVA

  • The traders’ viewpoint on valuation
  • The bank viewpoint
  • The shareholder and bondholder viewpoint
  • Difficulties with exit price accounting
  • Liquidity transfer pricing
  • How to align interests, incentives and valuations?

12.30 – 13.30 Lunch

13.30 – 15.00: Chris Kenyon: Director, Quantitative Research, CVA, Lloyds Banking Group

Regulatory-Compliant Pricing is Not Risk-Neutral

  • Regulatory costs
  • Market incompleteness
  • Idiosyncratic effects and lack of risk-neutral measure for the market
  • Implications: capital pricing; FVA; Exit Prices

15.00 – 15.15 Break

15.15 - 16.45: Tanguy Dehapiot: Head of Valuation, Group Risk Management, BNP Paribas

Bilateral CVA and Close-out Impact

  • Bilateral CVA vs combination of unilateral CVA and DVA
  • The risk free close-out and consequences of this choice
  • The risky close-outs: unilateral, bilateral, asymmetrical
  • Generalisation with replacement value


FVA and Interaction with CVA and DVA

  • The FVA debate: pro and cons
  • The great FVA confusion
  • Calibrating CVA, DVA and FVA to loans and borrowings
  • FVA interpreted as the systemic component; role in risk management


End of conference