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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: Alexander Antonov: Senior Vice President, Quantitative Research, Numerix

Replication & XVA: The Unique Counting

  • Replication (hedging) strategy as a unique way to calculate fair price equations and adjustments (CVA, DVA, FVA etc)
  • List of different replications and their pricing equations (Piterbarg, Burgard-Kjaer, our contribution)
  • Identification of adjustments for the different pricing equations
  • Reduction of a (large) list of pricing PDE's to two main contributions
  • Avoiding double counting: formal demonstration of cancellation of funding costs and hedging benefits (Hull-White)
  • Discounting rate in adjustments (e.g. CVA, BCVA or something else): which is right?
  • Numerical experiments for a Bermudan swaption: different strategies and their prices

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
  • Computing challenges
  • What is the potential of xVA sales?
  • The Incorporation and desk management

Panelists: (to be confirmed)

  • Alexander Antonov: Senior Vice President, Quantitative Research, Numerix
  • Andrew Green: Head of Quantitative Research, CVA/FVA, Lloyds Banking Group
  • Jörg Lotze: Technical Lead & Co-Founder, Xcelerit
  • Milena Imamovic-Tomasovic: Head Of CVA & Funding Methodology, Deutsche Bank
  • Alexander Sokol: CEO and Head of Quant Research, CompatibL

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