XVA & KVA Stream
08:30: Registration and Morning Welcome Coffee
09.00 – 10.30: Keynote Speech: FRTB, FRTB-CVA and implications for capital valuation adjustment (KVA)
- Introducing the Fundamental Review of the Trading Book
- FRTB-CVA Deriving a model for KVA
- The proposed changes to the CVA Capital framework
- Implications for CVA desks and CVA management
- KVA impact assessment
- Basel III / CRD IV
- “Basel IV” – i.e. FRTB, FRTB-CVA & SA-CCR
Presenter: Andrew Green: Head of Quantitative Research, CVA/FVA, Lloyds Banking Group
10.30 – 10.50: Morning Break and Networking Opportunities
10.50 - 11.35: Pricing, Management & Optimization of KVA
- The computational cost of KVA relative to other well-known valuation adjustments, CVA, FVA, etc
- P&L hurdle vs. actual costs
- How do you incorporate capital cost as everyday business?
- Techniques to optimize KVA (clearing, compressions, counterparty-axes)
Presenter: Socratis Tapeinos: Director, XVA Trading, Deutsche Bank
11.35 - 12.20: DVA, FVA, OCA and KVA: Accounting and Prudential Status
- DVA: What is controversial? Opposite accounting and prudential treatment
- FVA: An accounting adjustment? Any specific prudential treatment?
- OCA for debts: Specific accounting and prudential treatment. Links to DVA and FVA.
- KVA: Double counting with others or is it something different?
Presenter: Tanguy Dehapiot: Head of Valuation Risk, BNP Paribas
12.20 - 12.50: Panel: What do we mean by value?
- Should KVA be a Component of Fair Value or not?
- Can we distinguish economic value, accounting (fair) value, regulatory value, ??? value?
- Should adjustments be Fair value or not and what impact they should have on available capital
- What value should a bank risk manage?
- Is there a distinction between values for management accounting and financial accounting purposes?
- Shareholder vs Bondholder perspectives
- Does it matter if value is asymmetric between different parties to a transaction?
- Is there such a thing as a trade value anymore?
- Tanguy Dehapiot: Head of Valuation Risk, BNP Paribas
- Andrew Green: Head of Quantitative Research - CVA / FVA Quantitative Research, Lloyds Bank Group
- Socratis Tapeinos: Director, XVA Trading, Deutsche Bank
- Claudio Albanese, CEO, Global Valuation Limited
12.50 - 14.00: Lunch
14.00 – 14.45: Pricing, Management & Optimization of KVA
- KVA and RORAC – the best of both worlds?
- Which discount curve is the appropriate one to use in the calculation of KVA?
- Measure first, manage second, hedge third
- Internal transfer pricing – not as straightforward as with other VAs
- Can we hedge KVA and does it make sense to do so?
Presenter: Robert Dargavel Smith: Managing Director, XVA Desk, Santander
14.45 - 15.30: KVA for Counterparty Credit Risk Capital and CVA Capital
- Regulatory capital requirements as a constraint on supportable risks
- KVA as a means of meeting required return on capital tied up via marginal RWA for hedged trades, and some thoughts on the unhedged case
- Basel III regulatory capital framework, with emphasis on CCR and CVA charges
- Computing CCR and CVA capital under the advanced approach, demonstrating importance of EE profiles
- Decomposing future CCR and CVA into conditional EE profiles and evaluation by LSMC
- Capital approximations and reduction of KVA to unconditional EE profiles
Presenter: (To be confirmed)
15.30 - 15.50: Afternoon Break and Networking Opportunities
15.50 - 17.20: Will KVA eat out CVA and FVA? The Capital Structure of XVA replication
- Bullet points to be confirmed
Massimo Morini: Head of Interest Rate and Credit Models, Banca IMI
17.20 – 18.10: KVA, XVA & Initial Margin Panel
- Gordon Lee: Executive Director, Portfolio Quantitative Analytics, UBS
- Should KVA be included in the Books & Records?
- How should KVA be charged internally?
- Is KVA the new RORAC?
- Discuss Implementing SIMM for Non Cleared Initial Margin Rules
- Review the Impact of the initial margin and bi-lateral initial margin
- Understand the impacts of initial margin, bi-lateral initial margin and MVA on business models
- Will MVA replace C&FVA in the era of initial margin?
- Is the FVA debate over? Burgard-Kjaer vs. Albanese-Andersen
- How will forthcoming regulatory change impact XVA: FRTB, FRTB-CVA, SA-CCR, Ring Fencing?
- Robert Dargavel Smith: Managing Director Head of CVA, Santander
- Massimo Morini: Head of Interest Rate and Credit Models, Banca IMI
- Moez Mrad: Head Credit & XVA Quantitative Research, Credit Agricole-CIB
- Lucia Cipolina Kun: Regulatory and Risk Analytics, HSBC
18.10: Networking Reception
Stay and continue the day's discussions and network with food and drink.