Course Agenda

Agenda

March 2021 Course Agenda

Live virtual course | Agenda timing is in GMT
Respective time in EST
Start: 2pm GMT / 9am EST
Break: 3pm GMT / 10am EST
Break: 4:15PM GMT/ 11:15am EST


14:0015:00

CVA & DVA

14:00 - 15:00

  • DVA/bilateral CVA
  • Extension of the CVA modelling framework to XVA
  • CVA stress testing and scenario simulation
  • CVA aggregation and reporting
  • How to hedge your CVA
Ravi Savur

Formerly Global Portfolio Market Risk Manager

Citi

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

FVA

15:15 - 16:15

  • New addition to XVA
  • Funding cost and benefit adjustments for FCA &FBA
  • Trade profitability
  • Accounting vs management perspectives relating to FVA
  • The effect of the Ibor transition on FVA
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.

14:0015:00

MVA

14:00 - 15:00

  • Explanation, use, and calculation
  • Methodologies
  • Cost of MVA
  • MVA by replication and regression
  • Using evolutionary algorithms for optimisation
Hong Liu

Director and Senior XVA Quant

Scotiabank

Hong Liu is a Director and Senior XVA Quant at Scotiabank in London.

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

KVA

15:15 - 16:15

  • Explanation, use, and calculation
  • Methodologies
  • Approaches to calculating KVA
  • Estimating KVA for IMM and Non-IMM
  • KVA and FVA overlaps
Stamatoula Matsoukis

Director and Founder

Euclides Risk Solutions

Stamatoula Matsoukis is the Director and Founder of Euclides Risk Solutions, a quantitative finance consultancy. She has long term experience and expertise in counterparty risk modelling and regulation, XVAs, model risk, and model governance gained from senior positions in Risk Management, Front Office, and Audit functions. Before becoming a consultant, she had worked for financial institutions such as the UK financial regulator, Morgan Stanley, Standard Chartered and Deutsche Bank. She holds a PhD in Space Plasma Physics from the University of Warwick.

14:0015:00

Wrong way risk

14:00 - 15:00

  • Why is it important
    • History
    • Regulatory context
  • How to compute WWR
  • How to manage WWR
Stamatoula Matsoukis

Director and Founder

Euclides Risk Solutions

Stamatoula Matsoukis is the Director and Founder of Euclides Risk Solutions, a quantitative finance consultancy. She has long term experience and expertise in counterparty risk modelling and regulation, XVAs, model risk, and model governance gained from senior positions in Risk Management, Front Office, and Audit functions. Before becoming a consultant, she had worked for financial institutions such as the UK financial regulator, Morgan Stanley, Standard Chartered and Deutsche Bank. She holds a PhD in Space Plasma Physics from the University of Warwick.

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

Data Management for XVAs

15:15 - 16:15

  • Practical data management
  • XVA calculations and capital and funding optimisation
  • Impact of regulatory requirements on XVA data management
  • Data sources, data validations, and data flows
Irina Ursachi

Senior manager

Mazars

Irina Ursachi has over nine years of experience in the banking industry, managing international projects in various European jurisdictions such as UK, France, and Germany. Her expertise covers the design and specification of business processes as well as the implementation of regulatory requirements, the execution of market developments  in trading systems and valuation models.

Mrs. Ursachi is an active contributor to research projects and publications in the area of Risk Management. 

14:0015:00

Machine learning for XVA

14:00 - 15:00

  • Applications of machine learning in increasing XVA calculation efficiency
  • Function approximation through deep learning
  • ML for credit curve mapping
  • Deep BSDE learning approach to XVA
Andrew Green

Managing Director and Lead XVA 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.

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

XVA in the future

15:15 - 16:15

  • Next generation of capital frameworks
  • How can XVA help companies going forward?
  • Impact of XVA on your P&L
  • FRTB on the horizon
  • Road to recovery
Ali Najmaie

Director, Financial Resource Management

TD Securities

<p>Ali is currently a Director in the Financial Resource Management group at TD Securities. The group is responsible for measurement and management of xVAs including capital management for TD Securities, where he is also a member of the Global Credit Trading group. Before this position, he was responsible for model development of TD Securities risk model (Counterparty Credit Risk, Market Risk and Stress Testing). Prior to that role, he was at Scotiabank, Oliver Wyman, and Harvard University. He holds a PhD in theoretical physics.</p>