Course Agenda

Agenda

Course Agenda

14:0015:00

XVAs: Trends and Changes

14:00 - 15:00

  • How XVA has been affected by market volatility in 2020
  • Modelling collateral
  • Understanding initial margin
  • Managing wrong-way risk
Ravi Savur

Formerly Global Portfolio Market Risk Manager

Citi

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

CVA & DVA

15:15 - 16:15

  • DVA/bilateral CVA
  • Extension of the CVA modelling framework to XVA
  • CVA stress testing and scenario simulation
  • CVA sensitivities, the challenges of calculating hedging and P&L
  • CVA aggregation and reporting
Matthias Arnsdorf

Global head of counterparty credit risk quantitative research

JP Morgan

Since 2012 Matthias has been heading the J.P. Morgan  counterparty credit risk quantitative research team globally.

His main responsibilities include the development & support of J.P. Morgan’s suite of credit exposure models which are used for valuation and risk management as well as credit capital. Prior to his work in credit risk, Matthias headed the market risk capital modelling effort in EMEA for two years. Matthias started his career in finance in 2002 as a credit derivatives quantitative researcher at UBS and J.P.Morgan.

Matthias holds a PhD in Quantum Gravity from Imperial College London and has spent two years as a post-doctoral researcher at the Niels Bohr Institute in Copenhagen prior to his move to quantitative finance. 

14:0015:00

FVA

14:00 - 15:00

  • FVA – new addition to XVA
  • FCA & FBA – Funding cost and benefit adjustments
  • Trade profitability
  • Accounting versus management perspectives relating to FVA
  • The effect of the libor transition on FVA
Othmane Islah

Senior quant model development

Natwest Markets

Othmane Islah is currently the Head of Quantitative Research at Quantuply and a senior consultant for Traded Risk Models at Natwest Markets. He was previously a consultant for XVA at Lloyds Banking Group. Before that, he was the Head of Model Validation and Market Risk at the European Bank for Reconstruction and Development.

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

MVA

15:15 - 16:15

  • MVA – explanation, use and calculation
  • Methodologies
  • Cost of MVA
  • MVA by replication and regression
  • Optimisation of MVA using evolutionary algorithms
Dmitry Ilchenko

Funding manager/XVA trader

ING

Dmitry Ilchenko manages Funding and Liquidity in ING’s Financial Markets team. He oversees the Bank’s Derivative Funding Framework and looks after collateral funding costs optimisation. His sphere of interests includes optimising FVA, KVA and MVA, managing FVA reserve, dealing with complex collateralised cases and, recently, implementing the MVA concept for both SIMM and CCP models.

Prior to his position at ING, he worked at Deutsche Bank, first as Market Risk Manager covering European Rates and further in CVA desk where he managed the Bank’s CVA and RWA positions.

14:0015:00

KVA

14:00 - 15:00

  • KVA – explanation, use and calculation
  • Methodologies
  • Approaches to calculating KVA
  • Estimating KVA for IMM and Non-IMM
  • KVA and FVA – overlaps?
Assad Bouayoun

Senior XVA Quantitative Consultant

HSBC

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).

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

Data Management for XVAs

15:15 - 16:15

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

Independent consultant

Irina Ursachi is an independent Risk Management consultant. She has over eight 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, trading systems, and valuation models. Mrs. Ursachi is an active contributor to research projects and publications in the area of Risk Management. Prior to becoming an independent consultant, she has worked for the consulting companies d-fine and KPMG. She holds a Master’s degree in Mathematics from the University of Kaiserslautern.

14:0015:00

Machine learning and deep 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 approach to XVA
Andrew Green

Managing Director and XVA Lead Quant

Scotiabank

 

 

 

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

XVA in the future

15:15 - 16:15

  • The role of XVA – is adding value or adding complexity?
  • How can XVA help companies going forward?
  • Impact of XVA on your P&L
  • FRTB-CVA
    • How will it affect capital, MVA and FVA?
  • What is the 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>