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Workshop Day Round Tables: Wednesday 19th March

Register to either workshop below and attend the complimentary roundtables as part of the workshop day package. Delegates will be able to attend all 3 Roundtables, so sit down, relax and chat informally with the industry experts.

Schedule: 15.50 - 17.30


Table No. 1: The Latest Strategies for XVA Management with Moises Gerstein: Head of CVA Trading Desk- Emerging Markets, ING Bank


Moises's table shall be discussing the latest strategies for XVA management, pricing adjustments & desk organization.

Table No. 2: The Latest CVA Modelling Techniques with Alexander Sokol: CEO and Head of Quant Research, CompatibL. 

Alexander's table discusses reconciling CVA and capital charge models with macroeconomic theory and historical data.

Table No. 3: The Impact of Regulatory Changes and Capital Charges with Gary Wong: CEO, Ipotecs.

Gary's table will be examining the next generation technology for regulatory demands – running credit risk and market risk on a consistent platform, minimising tail risk and capital charge, CVA/DVA for exotics.

To register click here!

Pre-Conference Workshop Day: Wednesday 19th March: 

Long Term Portfolio Simulation for CVA, Funding, Limits, and Capital by Alexander Sokol: CEO and Head of Quant Research, CompatibL

"The workshop will focus on the specifics of constructing and calibrating models for CVA/PFE which must simulate the evolution of a large number of risk factors for long time horizons and with incomplete calibration data."


Practical Approaches for Pricing Credit, Collateral and Funding Costs In Derivatives by Justin Clarke: Edu-Risk International

"The term XVA is now being used as an all-encompassing name for all of these potential adjustments.  We will examine the appropriateness of these pricing adjustments, their source, the relationship between them and where they do and do not apply."

Workshop Schedule: 09:00 – 15:30
Roundtable Schedule: 15.50 - 17.30