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xVA, Funding & Capital Value Adjustment (KVA) Stream

09.00 – 10.30: Youssef Elouerkhaoui: Global Head of Credit Derivatives, Quantitative Research, Citigroup

KVA: Impact of RWA Cost of Capital on Pricing

  • Bullet Points to follow

10.30 – 10.50 Break

10.50 – 11.40: Matthew Dixon: Assistant Professor of Finance and Analytics, School of Management, University of San Francisco

Fast, Robust and Portable Recalibration of Stochastic Volatility Models

  • Robust and frequent recalibration of stochastic volatility (SV) models reduces model risk in CVA pricing. 
  • Replacing the FFT algorithm with Fourier-Cosine spectral transformations improves convergence properties.
  • Combining differential evolution and local optimizers reduces convergence to local optima.
  • Using the Xcelerit API automatically results in efficient deployment of the same C++ modelling code on many-core and multi-core CPU and GPUs.

11.40 - 12.30: The xVA Panel: The latest challenges of a move towards xVA

This panel will discuss the challenges of a move towards xVA

  • The practical implementation of xVA 
  • Discuss the increased importance of xVA
  • What is the potential of xVA sales?
  • The Incorporation and desk management
  • Optimal operating structures for the xVA desk
  • What are the barriers? How can they be surmounted?
  • What are the rewards for early adopters?
  • Timeliness of the xVA availability?  What is the advantage to real-time or near real-time availability?
  • In-house software - versus turnkey solution?  Can you trust the black box?
  • Are today's Quants ready and able to take on this challenge?

Panelists: (to be confirmed)

  • Andrew Green: Head of Quantitative Research, CVA/FVA, Lloyds Banking Group
  • Gordon Lee: CVA, Funding and Capital Quantitative Analyst, UBS Investment Bank
  • Jörg Lotze: Technical Lead & Co-Founder, Xcelerit
  • Milena Imamovic-Tomasovic: Head Of CVA & Funding Methodology, Deutsche Bank

12.30 – 13.30 Lunch

13.30 – 15.00: Andrew Green: Head of Quantitative Research, CVA/FVA, Lloyds Banking Group

Balance Sheet XVA: Incorporating Balance Sheet Impact into CVA, FVA and KVA

  • The bank balance sheet and capital
    • Capital ratio
    • Leverage ratio
    • A simple balance sheet model with derivatives
    • Extending XVA to Portfolios
    • Balance Sheet XVA

15.00 – 15.15 Break

15.15 - 16.30: Milena Imamovic-Tomasovic: Head Of CVA & Funding Methodology, Deutsche Bank

XVA - Theory vs Market Pricing

  • Bullet points to follow

End of conference