Course Agenda

Agenda

XVA Modelling and Management

Agenda

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Live virtual course | Below agenda timing is in GMT

Respective time in EST:

Start: 2pm GMT / 9am EST
Break: 3pm GMT / 10am EST
End: 4.15pm GMT / 11.15am EST

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14:0015:00

XVA risk management

14:00 - 15:00

  • How XVA has been affected by recent market volatility 

  • Modelling collateral

  • XVA calculations and capital and funding optimisation

  • Introducing hedging for portfolios: HVA

  • Mitigating ongoing cost management 

Ben Burnett

Head of XVA quant team

Barclays

Ben is the co-head of the XVA Quant team at Barclays. He has worked within the XVA space in London and New York for over a decade, and has published a number of articles in Risk magazine. He holds a DPhil in Astrophysics from Oxford and a PhD in Philosophy from King's College London.

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

CVA modelling fundamentals and trends

14:00 - 15:00

  • Foundations: Exposure, netting and collateral, CVA/DVA definitions

  • Modelling: Scenario and trade simulation, default probabilities, recoveries

  • Advanced topics: CVA charging and allocation, performance optimization

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

Execution of FVA

15:15 - 16:15

  • Funding cost and benefit adjustments for FCA & FBA

  • Accounting vs. management perspectives relating to FVA

  • How to profit from effective FVA management

  • The effect of the IBOR transition on FVA

  • Challenges of execution and industry statistics

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.

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

Execution of MVA

15:15 - 16:15

  • Explanation, use and calculation

  • MVA modelling methodologies for Initial Margin 

  • Computation of MVA 

  • Challenges of execution and industry statistics.

  • CCP for MVA optimisation

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

Execution of KVA

14:00 - 15:00

  • Explanation, use, and methodologies

  • Regulatory capital requirements

  • Approaches to calculating KVA

  • Estimating KVA for IMM and non-IMM

  • KVA and FVA overlaps

Jean Jacques Kamdem

Global head of traded credit analytics

HSBC

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

The role of XVA desks

15:15 - 16:15

  • How to place XVA desks

  • New dimensions due to the pandemic

  • Internal relationships

  • The effect on trades and pricing 

Nicki Rasmussen

First vice president, head of XVA desk

Danske Bank

Nicki is head of the XVA Desk at Danske Bank. With a background in the Quant Research department, he was part of establishing the XVA Desk within the trading unit of Danske Bank, with responsibilities across pricing and risk management of all XVAs. He holds a PhD in Computational Finance from Aarhus University.

14:0015:00

Wrong way risk management and some ‘toy’ quant inventions

14:00 - 15:00

  • Definition and category.

  • Economic and regulatory motivation.

  • Industry practice and statistics.

  • ‘Toy’ quant inventions

Suyan Liu

Principal

EMRM Consulting LLC

Suyan is an experienced executive quant with 20+ years’ experience in model validation and model development covering most financial products across asset classes: Interest Rates, FX, Equity, Credit, Commodity, and Hybrids. Other than her core Quant focus, Suyan has been pivotal in driving strategic initiatives especially for the most challenging counterparty modeling world.

Suyan is currently principal of EMRM Consulting LLC. Her previous posts include head of PFE Analytics at Wells Fargo, senior quantitative analyst at Bloomberg Enterprise Risk; global head of Counterparty Credit Risk Analytics at UBS (Stamford, CT),  Asia Pacific head of Quantitative Risk Control at UBS (Hong Kong), and the head of Risk Analytics for Development Bank of Singapore (Singapore).

Suyan holds a BS in theoretical physics from Fudan University in China. Her Ph. D was in (computational) chemical physics from New York University. She had been a Postdoc at James Frank Institute at University of Chicago. She had taught Exotic Options for three semesters at National University of Singapore. She had also been involved in other panel discussions and training activities.

 

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

XVA and climate change

15:15 - 16:15

  • Introduction

  • Background on Climate Change: Types of Climate Risk and Regulation

  • Effects of Climate Risk on XVAs

    • Changes on Traditional Financial Risks affecting XVAs

    • Climate Change Valuation Adjustment (CCVA)

  • Conclusion

     

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 and worked as research scientist on the same subject in Queen Mary & Westfield College.

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