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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 OTC derivatives

20-21 May 2019
Mexico City, Mexico


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.

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 such as Lloyds banking group, RBS and Scotiabank.

During his tenure in Scotiabank, Assad has participated in the development of a robust, scalable and extendible xVA solution for the bank’s derivatives business (including interest rate and foreign exchange calibration on CPU, Monte Carlo simulation and product evaluation on GPU). He integrated new technologies like Cloud or GPU and scientific methods such as AAD (Automatic Adjoint Differentiation). He also wrote a methodology for xVA credit marking for counterparty risk hedging which balances the need to preserve credit diversity with respect to the mark to market approach.

Assad is currently leading the quantitative team responsible for the HSBC’s global multi-asset simulation analytic library and engine used for exposure calculation, credit limits, regulatory capital and xVA. Its remits include developing calibration, simulation, pricing and aggregation functions. His involvement incorporates a redesign of the analytic library using new numerical methods such as AAD for sensitivities, machine learning for pricing approximation and graph based parallelization in a hybrid cloud environment.

In addition, Assad is a regular speaker in worldwide conferences in the field of quantitative finance and software development. He is also leading an initiative 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?

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


Key Topics

  • 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

  • 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:

    Rodrigo Lopez


    Ignacio Ramirez #20, 5th floor
    Colonia Tabacalera
    Mexico City

    Telephone:
    +52 55 4170 5555 ext. 2424
    Fax: +52 55 2282 5600
    Email: rodrigol@marcusevansmx.com