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Global Financial Markets Intelligence

Global Financial Markets Intelligence

XVA: Latest Developments in OTC Derivatives Pricing

The Role of XVA in Pricing of OTC Derivatives

26-27 Nov 2018
Novotel, Santiago, Chile


Why You Should Attend

XVA: Latest Developments in OTC Derivatives Pricing

How will you benefit?

Since it was included in the Basel regulation, CVA has been an important topic for financial institutions.  The recent revision of regulatory CVA standards by the BCBS has been finalized in December 2017 with the publication of the new Basel 3 framework. The regulator is proposing the elimination of internal models for CVA risks, mandating the use of the standardized (SA-CVA) and basic (BA-CVA) approaches to a new sensitivity-based CVA risk charge with the intention of being much more consistent with the FRTB standardized approach. These changes to the CVA related capital reserves directly affect the funding costs of the trade (including potential collateral) and must be properly priced in.  This is what is known as FVA and currently is also one of the central themes in the industry.

This course is intended to describe and explain valuation adjustments to pricing and valuation of financial products that are related to counterparty credit risk, funding, collateral, capital reserves, and margin requirements. It will provide attendees with an opportunity to learn the benefits and difficulties that XVAs present to market participants. It will also help to understand major questions surrounding XVAs (practical, regulatory, methodological, etc), as well as the links between various valuation adjustments and pricing challenges that XVA desks face. 

Practical examples and exercises will provide better understanding of current industry approaches and areas of potential methodology changes in the future.

· Gain familiarity with the different valuation adjustments, their reasoning and interactions

· Learn the importance of CVA, DVA, FVA, KVA, MVA to the industry

· Learn how to calculate those VA’s

· Become familiar with best industry practices and techniques used

· Analyze case studies and practical examples of XVA

· Understand the impact of regulations and accounting requirements

About your expert trainer:

Igor Falkovich is the principal at Aleph Analytics, a quantitative financial risk consultancy firm specializing in the areas of:

· Quantitative risk management (Model/Market/Counterparty Credit Risk)

· OTC derivatives margin requirements (Variation and Initial Margins), ISDA SIMM implementation issues

· Fair value accounting, including pricing of XVA

Prior to starting Aleph Analytics business, Igor worked in financial markets for over 20 years encompassing various capacities. He has witnessed and been part of the transition from pre- to post-recession changes in financial derivatives valuation and model risk management. During these pre- and post-recession years, Igor worked both on the regulatory side and private sector. For the National Futures Association Igor was responsible for approving major banks’ initial margin models to comply with margin regulations. Furthermore, he held senior positions in institutions such as Barclays, Morgan Stanley and Tudor Investment Corp, performing market risk management of multi-asset portfolios, developing and implementing valuation adjustment methodologies (CVA and FVA for inflation bonds, single name CDS, negative basis packages, etc.), as well as reviewing and validating CVA, FVA, MVA models for other products.

 

Igor holds MSc degree in Computational Finance from Carnegie Mellon University and PhD in Theoretical Math from Rostov University (currently South Federal University) in Russia.

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?

This course has been designed for financial risk professionals from the following departments:

  • XVA desk
  • Derivatives trading, structuring and sales desks
  • Treasury and finance departments
  • Regulatory capital and reporting
  • Risk management
  • Quantitative research
  • Quantitative modeling
  • Financial derivatives software providers and other third parties



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Event Contact

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

Veronika Sapronova


101 Finsbury Pavement
London
EC2A 1ER

Telephone:
+44 (0)20 3002 3435
Fax: +44 (0)20 3002 3016
Email: veronikasa@marcusevansuk.com