Javascript Menu by Deluxe-Menu.com
World Business Strategies Logo

Quants Hub Workshop day:

Quants Hub Workshop Day Presenters: 

London: 18th - 20th November 2013
Marco Bianchetti, Pat Hagan, Karel in't Hout, Jörg Kienitz, Massimo Morini, Andrea Prampolini & Alexander Sokol

London: Wednesday 4th December 2013
Counterparty Risk and Funding - Part 2 by Stéphane Crépey

London: 10th - 12th February 2014
Oliver Brockhaus, Jan De Spiegeleer, Christian Fries, Luis Manuel García Muñoz & Wim Schoutens

Overview

Location: Millennium Hotel London Knightsbridge.

Day 1: Andrey Chirikhin (The Royal Bank of Scotland) focuses on the theory through to implementing the latest practical advancements of your CVA/FVA function. Attendees will get exposure to the state of art modelling methods of CVA and CCR from pure economic view on CVA/FVA to the practical aspects of designing and implementing CVA and CCR models.

Day 2: Reviews the latest practical CVA & FVA techniques. The day starts with Claudio Albanese (King’s College London) reviewing the latest hedging strategies for CVA Books, followed by Luis Manuel García Muñoz (BBVA) looking at CVA, FVA (and DVA?) with stochastic spreads with special focus on the hedge-ability of every term.

The afternoon session opens with a panel discussion looking at the latest thoughts on trading techniques, emerging markets and the on-going FVA debate, with Milena Imamovic-Tomasovic (Deutsche Bank),  Moises Gerstein (ING Bank) & Steven Marshall (Nomura). This is followed by Milena Imamovic-Tomasovic reviewing the latest thinking and examining what is next in the CVA, DVA & FVA debate. Giovanni Cesari's (UBS) concluding session begins with a short talk to introduce some key questions on CVA/FVA/RWA, followed by an informal round table discussion on; CVA prices with other front office valuations, CVA and RWA computation, collateralized transactions, the role of clearing houses and different views on FVA computation.

Day 1: Latest Practical Aspects of Designing and Implementing CVA and CCR Models

Presenter: Andrey Chirikhin: Head of CVA Quantitative Analytics, Markets, RBS

Andrey focuses on the theory through to implementing the latest practical advancements of your CVA/FVA function. Attendees will get exposure to the state of art modelling methods of CVA and CCR from pure economic view on CVA/FVA to the practical aspects of designing and implementing CVA and CCR models.

Part 1. Theory: economics of CVA/FVA, limiting case of derivative-like valuation, collateral modelling, hook onto CSA discounting.

Part 2. Regulatory framework for counterparty risk (CCR). Basel III requirements, CVA VAR.

Part 3. Modelling for CVA and CCR. Building a hybrid model for CVA and building an econometric model for CCR. Wrong way risk. Numerical methods overview.

Part 4. Operational topics: calibrating CVA model, hedging vs investing view. Reconciliation with the regulatory CCR.

Day schedule: 09:00 – 17:30

Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30

Day 2: Latest Practical CVA & FVA Advancements

Examining The Latest Practical CVA Hedging Strategies:

09.00 - 10.30: Hedging Strategies for CVA Books:

Claudio Albanese: Professor, Department of Mathematics, King’s College London

Why we should model credit spreads dynamically in CVA calculations
Nested simulations
Optimization of semi-static hedging strategies
Floating rate CVA and CVA caps

10.30 - 10.45: Break

10.45 - 12.30: CVA, FVA (and DVA?) with Stochastic Spreads: A feasible replication approach under realistic assumptions

Luis Manuel García Muñoz: Head of Interest Rates, Credit and CVA Quant Teams, BBVA

In this presentation we will explore the different components that should be incorporated in the price of uncollateralized derivatives. In order to reflect the most realistic situation, we will assume stochastic credit spreads for both counterparties. In such a framework, the counterparty acting as the hedger will be concerned about market risk, spread and default risk of the counterparty and his own spread risk. We do so by putting special focus on the hedge-ability of every term.

12.30 - 13.30: Lunch

13.30 - 14.30: CVA Panel. This panel will discuss the latest thinking on trading techniques, Where is CVA at in emerging markets and the on-going FVA relationship debate.

  • Moises Gerstein: Head of CVA Trading Desk- Emerging Markets, ING Bank
  • Milena Imamovic-Tomasovic: Head of CVA, DVA and Funding Methodology, Deutsche Bank
  • Steven Marshall: Managing Director, Cross Asset Products, Nomura

What next for CVA/DVA/FVA?

14:30 - 15.30: What is next for CVA, DVA, and FVA?

Milena Imamovic-Tomasovic:
Head of CVA, DVA and Funding Methodology, Deutsche Bank

  • Market evolution
  • Resolved issues for CVA, DVA and FVA
  • Open issues for CVA, DVA and FVA
  • Accounting considerations
  • Regulatory impact
  • Future state?

15.30 - 15.45: Break

Reviewing Modeling techniques for CVA/FVA/RWA

15.45 - 17.00: The final session will start with a talk to introduce some key open questions in modeling CVA/FVA/RWA. These points will then be also discussed in an open round table.

Giovanni Cesari:
Managing Director, Global head of CVA Quant team, UBS

  • Can we reconcile CVA prices with other Front Office valuations?
  • Should we have the same system for both CVA and RWA computation?
  • What is the relevance of CVA in a world where collateralized transactions are predominant?
  • What is the role of Clearing Houses?
  • Can we reconcile the different views on FVA computation?

Details

Location:

Millennium Hotel London Knightsbridge
17 Sloane Street
Knightsbridge
London SW1X 9NU
Hotel Website

Flight details:

All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.

Sponsorship:

World Business Strategies offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 201352

Disclaimer:

World Business Strategies command the rights to cancel or alter any part of this programme.

Cancellation:

By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.

Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.