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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Advanced XVA Methodology: Practical Resource Optimisation

A focus on KVA and MVA in addition to the more established principles of XVA

23-24 Apr 2018
London, United Kingdom


Why You Should Attend

Advanced XVA Methodology: Practical Resource Optimisation

How will you benefit?

The global evolution of derivative pricing in the past few years has completely transformed how banks carry out valuation. What started with CVA now brings in DVA, FVA, and future challenges such as KVA and MVA. These changes have an impact across multiple departments and jurisdictions, bringing treasury and collateral management into contact with trading desks and risk managers. Implementing these changes and optimising these new operations means that banks are now starting to talk about the ‘XVA desk’ – a model beyond the siloed approach where CVA, DVA, collateral management, FVA, and RWA optimization can be carried out in an efficient and unified context. Whilst it is a notoriously tricky topic, banks need to get to grips with these topics, and going on from there learn to report and practically control the risks arising from these complex but inter-related issues, with special reference to fast/gapping market movements and stressed markets.

About your expert trainer:

Dr. Gary Wong is the CEO of Ipotecs, providing advisory service focusing on collateralization of derivatives trades with unsecured counterparties, through margin/collateral lending operations. It reduces banks’ counterparty risk exposure and capital requirements, lowers the OTC transaction costs, and creates opportunities for investors through securitization of OTC counterparty credit risk.

For many years he was trading complex structured derivatives and developing risk management techniques and infrastructure to control risks. His previous role was MD and Business Head of Structured Trading Group in Mitsubishi UFJ Securities International (MUSI), responsible for the business line P&L and costs. Managing the trading and structuring desks, risk management desk, quantitative modelling team and technology infrastructure team, his groups developed sophisticated models and technology for trading and risk reporting, and for many years was the most profitable group in MUSI.

Prior to this, he was a swap trader, and developed the exotic derivatives trading capability in Mizuho International. Before that, he was in JP Morgan Asset Management, working on asset allocation models, and IT infrastructure including real-time derivatives and options pricing system.

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will beanalysedby the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.



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Event Contact

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

Gareth Banks


101 Finsbury Pavement
London EC2A 1RS
England

Telephone:
+44 (0) 20 3002 3400
Fax: +44 (0) 20 3002 3016
Email: garethb@marcusevansuk.com