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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: Accounting and Prudential Status of DVA, FVA and KVA

  • Bullet points to be confirmed

Tanguy Dehapiot: Head of Valuation Risk, BNP Paribas (To be confirmed)

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

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 SmithManaging 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 - 17.10: 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

17.10 – 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.