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
- Motivation: pricing derivatives in a Basel III framework
- Unified pricing with CVA, funding and capital
- Fundamental invariance principle for CVA, funding and capital
- The solution: CVA, DVA, FVA, MVA and KVA
- Moving from RWA hurdle rates to KVA
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?
- Hicham Lahlou: CEO & Co-Founder, Xcelerit
Panelists: (to be confirmed)
- Claudio Albanese: CEO, Global Valuation Limited
- Andrew Green: Head of Quantitative Research, CVA/FVA, Lloyds Banking Group
- Gordon Lee: CVA, Funding and Capital Quantitative Analyst, UBS Investment 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