XVA: Credit, Funding and Capital Valuation Adjustments London

There are many practical, regulatory and technological challenges organisations face when dealing with XVAs. This two day training course has been designed to help you tackle these complexities. Throughout the course, we will assess the links between different XVAs, and address the challenges cause

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XVA: Credit, Funding 
and Capital Valuation Adjustments
London, 13-14 June 2019

View the Agenda  Download the Brochure

There are many practical, regulatory and technological challenges organisations face when dealing with XVAs.

This two day training course has been designed to help you tackle these complexities. Throughout the course, we will assess the links between different XVAs, and address the challenges caused by data management and new technologies. Sessions will also provide in-depth discussion and enhanced knowledge of FVA, CVA, DVA, KVA and MVA.

The course is delivered by a variety of leading experts and held in a classroom format to promote an open, discussion based learning environment.

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Andrew Green

Managing Director and Lead GFI Quant

Scotiabank

Andrew Green is a Managing Director and lead XVA Quant at Scotiabank in London. He is the author of XVA: Credit, Funding and Capital Valuation Adjustments which is published by Wiley, co-editor of Landmarks in XVA which is published by Risk Books and co-author of a number of technical articles on XVA in recent years.

 

 

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Assad Bouayoun

Senior XVA Quantitative Consultant

Daiwa Capital Markets

Assad Bouayoun has over 15 years of quantitative analysis experience in investment banking. He is a quantitative finance specialist focusing on total valuation including funding and capital cost, XVA, risk, stress and reverse stress testing.

He was responsible for designing industry standard hedging and pricing systems in equity derivatives during his time in Commerzbank, and had the same responsibility in credit derivatives while working for Credit Agricole, and also in xVA in institutions like Lloyds, RBS and Scotiabank. He lead the modelling team responsible for the research and development of the simulation engines used for exposure computation within HSBC in London. Now he is XVA and Credit Derivative quantitative analyst at Daiwa Capital Market..
During the different projects Assad has undertaken in quantitative finance, he integrated new technologies such as Cloud, GPU and QPU; new design (parallelization using graphs) as well as new numerical methods such as AAD. He also participated to the firmwide data standardization and integration that are essential aspects of the success of these projects. He is also leading an effort to leverage quantum annealing for financial quantitative reverse stress testing.

He holds a MSc in Mathematical Trading and Finance from Cass Business School and an MSc in Applied Mathematics and Computer Science from UTC (University of Technology of Compiegne, France).  

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Matteo Rolle

Head of XVA, Capital & Collateral

Lloyds Banking Group

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Amira Akkari

Director, Financial Risk

EY

Broad industry experience as a Front Office Quantitative Analyst. Expertise in Pricing methodology design, modelling and testing (C++, C#, Python ). Expertise in various subjects: Monte Carlo optimisation techniques, American Monte Carlo, Parametric volatility models, dividend modelling, Variance and Volatility products, flexible exotic products scripting, risk profile and modelling

Amira joined EY’s Quantitative Advisory Services team in 2014 and led since then large deliveries in FO Modelling, Algorithmic & eTrading, QIS : development, testing, documentation, validation & regulatory framework - FO processes, accelerators & methodologies - FO Automation, Analytics & Innovation.

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Ravi Savur

Formerly Global Portfolio Market Risk Manager

Citi

Who Should Attend:

Relevant departments may include but are not limited to:

  • XVA Desk
  • Quantitative Research
  • Market Risk Management
  • Portfolio Management 
  • Trading 
  • Derivatives 
What will you learn?
  • The importance of FVA, CVA, DVA, KVA and MVA to the industry
  • Updates on industry reaction, market possibilities and challenges
  • The different XVA methodologies, uses and how to calculate them
  • Case studies and examples of XVAs put into practice
  • Advances in technology and data management for XVAs

Raddison Blu Edwardian, Mercer Street

20 Mercer Street,
WC2h 9HD
London

Venue information

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