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
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.
Managing Director and XVA Lead Quant
Andrew Green, Managing Director and XVA Lead Quant , SCOTIABANK
Senior XVA Quantitative Consultant
Assad Bouayoun is a senior XVA Quantitative Analyst at Scotiabank with more than 15 years' experience in leading banks. He has designed industry standard hedging and pricing systems, first as a single asset quant (equity derivative at Commerzbank, credit derivatives at Credit Agricole) then as XVA quant in XVA at Lloyds in Model Validation at RBS in Model Development. Assad has an extensive experience in developing enterprise wide analytics to improve the financial management of derivative portfolios, in particular large scale hybrid Monte-Carlo and Exposure computation. After developing a prototype of XVA platform integrating cutting-edge technologies (GPU, Cloud computing) and numerical methods (AAD) to enable fast and accurate XVA and sensitivities computation, he now participates to its productionisation. He holds a MSc in Mathematical Trading and Finance from CASS business school and a Master in Applied Mathematics and Computer Science from Université de Technologie de Compiegne (France).
Head of XVA, Capital & Collateral
Lloyds Banking Group
Director, Financial Risk
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.
Formerly Global Portfolio Market Risk Manager
Who Should Attend:
Relevant departments may include but are not limited to:
- XVA Desk
- Quantitative Research
- Market Risk Management
- Portfolio Management
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