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Day 1: XVA Master Class by Massimo Morini

  • How recent changes affect the banks business:
      • Reorganizing for  XVAs and the profitability of the Derivatives Business
      • Accounting and Regulatory (Capital and Prudent Valuation) perspective
  • The base CSA Price
      • The value of collateral and OIS discounting
      • Negative rates and Multicurve in an XVA framework
  • Credit Value Adjustment (CVA)
      • The mathematics and the implementation
      • Models and Model Risk
      • Wrong-way risk and Correlated Counterparties
      • CVA hedging
  • Debt Value Adjustment (DVA)
      • Hedging DVA or Transfer to the treasury
      • The Closeout puzzle and effects
  • Funding  Value Adjustment (FVA)
      • The mathematics and the implementation
      • The FVA debate and Practical Solutions
      • Competitive FVA charge and XVA consensus
      • Net Stable Funding Ratio and cost of funding
  • Capital Value Adjustment (KVA)
      • Regulatory Capital Requirements
      • Simulating real world exposures
      • Correct prediction of future capital costs 

Day 2: XVA Master Class by Massimo Morini

  • Interactions between XVAs and an aggregation without double counting
    • Double counting DVA and Funding Benefit: explanation and avoidance
    • The alternative between CVA hedging with CDS and Capital Charging
    • A double counting of cost of debt in FVA and cost of equity in KVA?
  • Collateral Options
    • Cross-curency swaps
    • The value of switching collatal currency
    • The value of the bond vs cash collateral
  • Initial Value Adjustment
    • CCPs, ISDA OTC bilateral Margins, and SIMM
    • Compute the Initial Margin prospective funding cost
    • An efficient implementation and the effect on pricing
  • Other mitigations of risk:
    • Break-up Clauses
    • Netting and Set-off agreements
    • Tranching CVA
  • Gaining Computational Efficiency
    • XVA Simulation with analytic exposures vs American Montecarlo for XVA
    • Efficient sensitivities through Adjoint Differentiation
    • Adjoints for XVAs: interaction with default, calibration and wrong way risk

Fee Structure


This workshop is free online via The Quants Hub Annual Subscription Service!


Standard Fee to attend the Live event: £599 + UK VAT per day (Register to BOTH days of the workshop and receive £200 discount)

Register Below to the Live event


Online fee: £599 for both days (This workshop will be hosted via the WebEx platform)

Register on the Quants Hub to watch Live Online


All attendees either online or at the live event in London will receive the recorded video workshop!

About the Presenter

Massimo Morini is Head of Interest Rate and Credit Models at IMI Bank of Intesa San Paolo, where he also coordinates modelling research. He has been a consultant to the World Bank and other supranational institutions. Massimo is Professor at Bocconi University and MSc Director at Milan Polytechnic, and he was Research Fellow at Cass Business School, London. He delivers advanced training worldwide and is regularly an invited speaker at main derivatives conferences. He has published papers in journals including Risk Magazine, Mathematical Finance, and the Journal of Derivatives, and is the author of "Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators" and other books on credit, funding and interest rate modelling. Massimo holds a PhD in Mathematics and an MSc in Economics.

Details

Location:

Radisson Blu Portman Hotel
22 Portman Square
London W1H 7BG
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.

Quants Hub Subscription Service

Quants Hub Subscription Service

Fee Structure:


Montly Subscription Service

1 Month Service: £899 (Workshops only, no programming school courses)
3 Months Service: £1499 (Workshop access all areas & 1 Programming School course)
6 Months Service: £1999 (Workshop access all areas & 2 Programming School courses)

Programming School Only Annual Subscription Service

This subscription option allows you to access 4 programming school start date courses per annum, plus all self-paced courses: £2499

Workshop Only Annual Subscription Service

This subscription option allows you to access all Quants Hub workshops: £2499

Full Annual Subscription Service

1 Full Annual Subscription/Login account: £3799 per annum for access to all areas
2 Full Annual Subscription/Login accounts: £4799 per annum for access to all areas
3 Full Annual Subscription/Login accounts: £5799 per annum for access to all areas

Register Now: This service will be available from January 2015!