Events Calendar

XVA: Latest Developments in OTC Derivatives Pricing
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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
Location Mexico City, Mexico

Additional Information about this event:

From Thursday 29 November 2018
To Friday 30 November 2018
   
Official Event Website: more info
Number of expected attendees: Not defined
This event has an exhibit: Not defined
YouTube Video for this event:
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