XVA Modelling and Management

Explore the execution, best practices, and management of various XVA models, as well as the associated risks and challenges

XVA Modelling and Management

June 20–23, 2022

Time zone: EMEA / APAC

 

REGISTER by May 20 - save $200

Key reasons to attend

  • Learn best practices for managing XVA desks

  • Explore key tools for execution of XVAs

  • Discuss current and upcoming challenges in the industry


View agenda

Customised learning

Does your team require a tailored learning solution on this or any other topic?

Working with the portfolio of expert tutors and Risk.net’s editorial team, we can develop and deliver a customised learning to make the most impact for your team, from initial assessment to final review. 

Find out how

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Join our 4-day interactive, virtual learning opportunity to deep dive into the modelling and management of XVA. 

Sessions will allow participants to acquire the tools for successful management of CVA, FVA and KVA. This course equips attendees with a deeper understanding on the role and development of XVA desks since the pandemic and develops their knowledge on the future of XVA, particularly looking at the effect of climate change.

Subject-matter experts will conduct 60-minute live sessions that allow participants maximum engagement with the detailed content, as well as the opportunity to interact with the speakers through live Q&A and polls.

Learn how to
  • Model collateral and the potential mitigating risks

  • Apply scenario simulation and pricing model choice by asset class

  • Understand the effect of the Ibor transition on FVA, and how this affects your business

  • Discuss the new role of XVA desks and effect on maturity due to the pandemic

  • Apply CCP techniques for MVA optimisation

  • Employ model solutions for the effect of climate change

Who should attend

Relevant departments may include but are not limited to: 

  • XVA risk

  • XVA analyst

  • XVA desk

  • XVA trading

  • Counterparty credit risk

  • Quant modelling

  • Treasury

Content support

For this course we have collated a selection of articles from Risk.net to supplement your learning.

Risk Training is a part of Risk.net - the world’s leading source of in-depth news and analysis on risk management, derivatives and complex finance.

View articles here

Chandan Banerjee

Head xVA, CVA & market risk RWA

Credit Suisse

Maria Kostova

Lead quantitative specialist

CRISIL Limited

Maria Kostova has over 16 years of experience in regulatory risk with specific focus on expected credit loss methodologies and internal ratings based approach valuation techniques.

Her significant focus of expertise resides in model development, validation, risk governance, capital allocation mechanisms and financial stability frameworks across Pillar 2A and 2B types of risk- credit, market, liquidity, concentration, IRRBB and model risk management. During her career, she has been predominantly engaged in top tier banking groups in the United Kingdom, the Netherlands and Spain, allowing her to acquire a comprehensive IFRS9 and A-IRB credit risk modelling expertise in PiT/TTC PD, LGD, EAD development and excellent understanding of internal capital adequacy requirements (ICAAP/ ILAAP) alongside risk weighted asset adjustments, Liquidity Restructurings and Stress-testing techniques.

She is specialized in banking and finance with strong emphasis on statistics and microeconomics in the United States, where this substantial exposure on logistic and linear regression methodologies in statistics for retail and corporate portfolios has been developed and practiced in accordance with Basel/ BIS/ ECB/EBA regulatory frameworks and the PRA requirements in the UK.

 

Chris Kenyon

Global head of quant innovation & global head of XVA quant research

MUFG

Chris Kenyon is Global Head of Quant Innovation at MUFG, and also Global Head of XVA Quant Modelling at MUFG. Previously Chris was head of XVA quant research at Lloyds Banking Group, worked at Credit Suisse and Depfa Bank plc where he was the post-crisis head of structured credit valuation after working on inflation-rates hybrids introducing new smile models. Chris formalized KVA and MVA with Andrew Green, as well as PFL as the replacement for PFE. More recently he introduced a climate change valuation adjustment (CCVA). Chris has a PhD from Cambridge University, published 17 papers in the Cutting Edge section of Risk magazine (twice joint top-cited author), holds 10 US patents, and was an author of the open source software QuantLib.

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Ben Watson

CEO

Maroon Analytics Australia

Ben Watson is the CEO of Maroon Analytics Australia, a Quantitative Analytics Consultancy that helps Banks and Financial institutions with any aspect of their quant requirements. Maroon has been helping its clients with some of the more complex issues that they face today, such OIS discounting, XVA pricing, Initial Margin modeling, and market and credit risk management.

Ben has recently developed a full-featured risk management system called Quantics. This system is currently being rolled out to a wholesale fund manager that is being used to manage the credit and market risk, as well as provides full profit and loss attribution on a large credit portfolio.
Ben came to the Maroon business with 23 years working for Investment Banks as a Quantitative Analyst. Up to 2012, he was the APAC regional head of the Quant function for RBS, and before that he was the local head of Quantitative Analytics at ABN AMRO Australia. Working directly with traders he has a long track record of building real-time pricing and risk management systems. He has built Credit, Bond, Swaps, FWD FX, Swaptions, Inflation Bonds and Swaps, MBS, CDS pricing and trading systems for the front office. While at RBS he managed the successful OIS migration of a large derivatives trading book and since working as has a consultant, he has advised and helped implement a number OIS migration projects.

As part of the Marron Analytics offering, Ben has developed a number of training courses in OIS Discounting, Counterparty Credit, and CVA, XVA, Initial Margin, Stress Testing, Pricing Fixed Income products, VaR/ Expected Shortfall and VBA for Finance. He has delivered these training courses across Australia, Taiwan, Singapore, US and New Zealand.

Malcolm Hibbert

Managing director - head of XVA trading

Credit Agricole

Jon Gregory

Senior advisor

Solum Financial Derivatives Advisory

Jon Gregory is an independent expert specialising in counterparty risk and xVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is author of the book “Counterparty Credit Risk: The new challenge for global financial markets” (now in its forth edition) and “Central Counterparties: The Impact of Mandatory Clearing and Bilateral Margin Requirements on OTC Derivatives”. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member of the Certificate of Quantitative Finance (CQF). He also serves on the Academic Advisory Board of IHS Markit and is a Managing Editor of the journal Quantitative Finance.

Jon holds a PhD from Cambridge University.

Alexis Bachtsetsiz

Valuation specialist

Deutsche Bank

Live Virtual training courses

 

Our live virtual training courses have been designed to engage and inspire you. Much more than a webinar, our approach includes:

  • Technical content compressed into 60-minute interactive sessions and spread out over two, three or four days

  • Facilitated collaboration including Q&A, interactive polling and group workshops

  • Live interaction with subject matter experts – get your questions answered in real time

  • Receive comprehensive course materials and supporting content from Risk.net to reinforce your learning

  • Stay connected with other learners and extend your network by joining our dedicated LinkedIn group for course participants