Agenda

Agenda

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Day 1 | 13 June

Sessions on day one led by Andrew Green, Managing Director and XVA Lead Quant, Scotiabank 

08:30

Registration and refreshments

09:00

XVA: Industry Trends and Changes 

  • Introduction: how did we get here, what XVAs are we talking about
  • Importance of XVA to industry
  • Modelling collateral
  • SIMM
  • Market possibilities and changes

10:30

Morning Break

11:00

CVA & DVA

  • DVA/bilateral CVA
  • Extension of the CVA modelling framework to XVA
  • CVA scenario simulation and pricing
  • CVA sensitivities, hedging and P&L
  • CVA aggregation and reporting
  • Wrong-way risk

12:30

Lunch

13:30

FVA

  • FVA - new addition to XVA
  • FCA & FBA - Funding cost and benefit adjustments 
  • FVA debates
  • Trade profitability

15:00

Afternoon break

15:30

Data Management and New Technologies 

  • Data management & XVAs
  • Approaches to semantic data unification: data mapping, Nifi, Roslyn
  • The role of GPU's and FPGA acceleration devices 
  • Distributed computing versus in-memory solutions
  • Optimising the mathematics to the hardware
  • From XVA calculations to capital and funding optimisation

17:00

End of day one

Day 2 | 14 June

08:30

Refreshments

09:00

KVA

  • KVA - explanation, use and calculation
  • Methodologies
  • Different approaches to calculating KVA - industry debate
  • Estimating KVA for IMM and Non-IMM
  • KVA and FVA - overlaps?

Speaker: Assad Bouayoun, Senior XVA Quantitative Consultant, HSBC

10:30

Morning break

11:00

MVA

  • MVA - explanation, use and calculation
  • Methodologies
  • Cost of MVA
  • MVA by replication and regression 

Speaker: Ravi Savur, Formerly Global Portfolio Market Risk Manager, Citi

12:30

Lunch

13:30

FRTB CVA 

  •  Overview of FRTB-CVA and regulatory timeline
  •  Industry feedback
  •  CVA capital computation blocks and implementation considerations 
  •  FRTB-CVA considerations
  •  Capital considerations, capital and computation optimisation 
  •  Deep-dive SA-CVA
  •  Compute optimisation and target operating model

Speaker: Amira Akkari, Director, Financial Services Risk, EY

15:00

Afternoon break

15:30

The Future of XVA

  • The debate over the role of XVA - adding value or adding complexity? 
  • How can XVA help companies going forward?
  • Impact of XVA on your P&L
  • FRTB-CVA
  • What's next? 

Speaker: Matteo Rolle, Head of XVA, Capital and Collateral, Lloyds Banking Group

17:00

End of course