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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Quantitative Methodologies for Derivative Pricing and Valuation

Optimize Your Valuation Adjustments to Perfect Your Pricing Strategy

3-4 Mar 2016
New York, NY, United States of America

Why You Should Attend

Quantitative Methodologies for Derivative Pricing and Valuation

Derivative valuation and pricing is essential for firms that are involved in trading. The valuation process needs to be effective to ensure that potential risks are incorporated into pricing analysis. Many institutions now have control over CVA and DVA however, the increased pressure on these areas, and the introduction of further changes to the XVA desk from Basel III, mean the processes need to be evaluated to ensure institutions cover all areas effectively and ensure they price derivatives efficiently and risk free.

This GFMI conference will discuss the key methodologies to calculate value adjustments. Delegates will understand whether the current strategies for calculating CVA and DVA remain effective or if institutions need to change them in light of new regulations. Institutions will understand the latest calculations, such as FVA and KVA, and ensure they adapt their infrastructure to best manage XVA and correctly price their derivatives.

Key Topics

  • Discuss the current best practices in managing CVA and DVA
  • Understand the use of FVA and strategies to incorporate new KVA calculations
  • Evaluate the latest regulatory changes to affect XVA
  • Evolve your infrastructure to best manage XVA and increase the efficiency of derivative pricing
  • Incorporate the latest technology to streamline your derivative pricing
  • Previous Attendees Include

    Wells Fargo, Suntrust Bank Inc., Freddie Mac, State Street, BlackRock Investment Management, Bank of the West, Fannie Mae, E*Trade Financial, Union Bank, Bank of America, ALCO Partners LLC, Fincad, Charles Schwab, Wells Fargo Bank, Discover Financial Services, U.S. Bank, USAA, Federal Housing Finance Agency, American Express, Itau Unibanco

    Why Choose GFMI marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

    Practical Insights From

    Mark Syrkin
    Senior Bank Examiner
    Federal Reserve Bank of New York

    Gonzalo Garcia Kenny
    Managing Director, Head of Portfolio Optimization Desk

    Gordon Liu
    Executive Vice President, Head of Regulatory and Risk Analytics
    HSBC North America

    Natasha Pekelis
    Managing Director, Head of Front Office Development IT
    TD Securities

    Dongsheng Lu
    Managing Director, Head of Quantitative Research, Derivatives Trading
    BNY Mellon

    Lovisa McCallum
    Managing Director, Cross Business Risk Trading, Trading Products
    Bank of Montreal

    Scott Chang
    Executive Director, Credit Risk
    Morgan Stanley

    Click Here For Full Agenda

    Voice of Our Customers
    • "I found the conference to be one of the most useful I have attended so it was well worth the effort." Santander
    • 'Extremely well-prepared event. Very interesting, practical and informative talks from the conference speakers. I would recommend this event anytime and I hope to be able to attend the next one!" Societe Generale
    • "All items are very relevant with good levels of speakers. Thanks you." Bank of America
    • "Very informative, particularly on some of the issues facing practitioners." Global Valuation Ltd
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Tyler Kelch - GFMI

    455 N. Cityfront Plaza Dr.
    9th Floor
    Chicago, IL 60611

    Fax: 312-894-6304
    Email: Tylerke@global-fmi.com