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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: Alexandre Bon: Product Manager, Enterprise Risk Management, MUREX

Did Basel Put the Final Nail in the Coffin of CSA Discounting?

FVA In Presence Of Stochastic Funding Spreads, Initial Margins And Imperfect Collateralisation Conditions

  • FVA for economic value & incremental pricing
  • FVA via CSA discounting or Exposure simulation
  • Funding spreads and exposure co-dependence
  • Collateralisation regimes in the New Normal and Initial Margins

11.40 - 12.30: Jörg Lotze: Technical Lead & Co-Founder, Xcelerit

Funding and Credit Adjustments: Coping with the Compute Load

  • Challenges in building a centralised framework for xVA in risk and OTC pricing
  • Algorithmic optimisations for xVA computations
  • Software acceleration using multi-core and GPUs
  • Performance achieved and lessons learned
  • Talk includes live demos and practical examples throughout

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