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Global Financial Markets Intelligence

Global Financial Markets Intelligence

xVA: Toward a Unified Approach of Financial Resource Management

Bridge the gap between xVA and resource management and understand how all the different valuation adjustments are fitting together

5-6 Nov 2018
London, United Kingdom

Why You Should Attend

xVA: Toward a Unified Approach of Financial Resource Management

How will you benefit?

Since Lehmanís default, CVA, DVA then FVA became an important part of a bankís earnings. Their instability had suddenly a direct effect on the capital and funding position. A set of regulations (from Basel 3 to FRTB) were adopted to encourage a more active risk management, based on a better methodology; first to limit unexpected loss, and second to give a better decision making toolkit to senior management. These regulations also triggered a consolidation of models, systems and functions across businesses that give a unique opportunity to centralize and improve resource management.

Resource management can be defined as the art of managing, hedging and reserving against the variation of the total financial value, including xVA, of a pool of assets to better utilize capital and funding resources.Complex corporate structures and different regulations can be seen as additional constraints to the wider allocation problem.

In this course you will be able to understand how the different valuation adjustments are fitting together and how you can contribute to the improvement of the capital and funding allocation in your company.

Understand all the xVAs and their contexts.

Learn how to manage xVAs: when is hedging possible and how to size a reserve.

Spot double counting of charges: understand the overlap between FVA and DVA, as well as KVA and FVA.

Recognize uneconomical businesses: learn how to assess and manage an uncollateralized portfolio with exotic trades.

Propose mitigation mechanisms that benefit your organization: learn how to reduce your credit limit and capital consumption at a minimal cost.

About your expert trainer:

Assad Bouayoun has over 15 years of quantitative analysis experience in investment banking. He is a quantitative finance specialist focusing on total valuation including xVA, risk, stress and reverse stress testing. He was responsible for designing industry standard hedging and pricing systems in equity derivatives during his time in Commerzbank, and had the same responsibility in credit derivatives while working for Credit Agricole, and also in xVA in institutions like Lloyds banking group, RBS and Scotiabank. Currently he is a member of the team in charge of developing a new library within HSBC in London.

During the different projects Assad has undertaken in quantitative finance, he integrated new technologies such as Cloud, GPU and QPU; new design (parallelization using graphs) as well as new numerical methods such as AAD. He is leading an effort to leverage quantum annealing for xVA reverse stress testing.

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 be analyzed by 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.

Who should attend?

The course will be of great value to those working in the following areas:

Counterparty credit and market risk modeling

Valuation control

Model development and validation

Quantitative analysis

Enterprise-wide risk management

Risk/finance IT delivery

XVA/CVA trading

Internal and external audit

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.

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Event Contact

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

Kamelia Simeonova

101 Finsbury Pavement, London, EC2A 1RS

0044 203 002 3172
Email: kamelias@marcusevansuk.com