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MILLENNIUM HOTEL
LONDON KNIGHTSBRIDGE
25TH / 26TH / 27TH MARCH 2015
www.wbstraining.com
THE 4TH CVA CONFERENCE:
PRUDENT VALUATION, TVA, ACCOUNTING FOR FVA,
CCP, RWA, CAPITAL / KVA & XVA
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THIS YEAR’S CONFIRMED & INVITED SPEAKERS:
Jon Gregory: Partner, Solum Financial Partners
Andrew Green: Head of Quantitative Research, CVA/FVA, Lloyds Banking Group
Moises Gerstein: Head of CVA Trading Desk- Emerging Markets, ING Bank
Youssef Elouerkhaoui: Global Head of Credit Derivatives, Quantitative Research, Citigroup
EARLY BIRD DISCOUNTS:
20% BEFORE 30TH JANUARY
10% BEFORE 27TH FEBRUARY
Tanguy Dehapiot: Head of Valuation Risk, BNP Paribas
Gordon Lee: CVA, Funding and Capital Quantitative Analyst: UBS Investment Bank
Marco Bianchetti: Head Of Financial Modelling & Validation, Intesa Sanpaolo
Christian Kamtchueng: CTK Head Advisor, ESSEC Lecturer MSTF
Dherminder Kainth: Head Of QuaRC, RBS
Chris Kenyon: Director, Quantitative Research, CVA, Lloyds Banking Group
RECEIVE A £150 DISCOUNT
WHEN YOU REGISTER
TO THE MAIN CONFERENCE
+ WORKSHOP
Mats Kjaer: Senior Quantitative Analyst, Derivatives Research, Bloomberg
Rohan Douglas: CEO, Quantifi
MAIN SPONSOR
GOLD SPONSORS
SILVER SPONSOR
OVERVIEW
This Conference will focus on the practical aspects and
challenges of a move towards xVA
PRE-CONFERENCE WORKSHOP DAY
(WEDNESDAY 25TH MARCH):
THIS YEAR’S TOPICS INCLUDE:
Prudent Valuation: Regulation, Calculation &
Organisation
by Marco Bianchetti: Head of Financial Modelling &
Validation, Intesa Sanpaolo &
Umberto Cherubini: Associate Professor of Financial
Mathematics, University of Bologna
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Prudent Valuation
Ring Fencing
FVA & MVA
Accounting for FVA
Taxation issues (TVA)
Latest Regulations
Capital / KVA (Leverage Ratio & Prudential
Valuation)
Portfolio / Balance Sheet Capital Models
xVA
Initial Margins, CCP & Clearing
RWA computation
Practical and Efficient xVA Implementations in C++
by Jörg Lotze: Technical Lead & Co-Founder, Xcelerit
MAIN CONFERENCE STREAMS
(THURSDAY 26TH MARCH):
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The 4th CVA conference will explore the ever changing
complex infrastructure of the daily CVA business within
a financial institution. So attend the only two streamed
conference of its kind that is dedicated to your function.
Other conferences may have CVA as part of the
programme (or a single stream), however not an entire
two streamed event. Delegates will get access to all main
conference presentation files, available to download via
our password protected website before the event.
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MAIN CONFERENCE STREAMS
(FRIDAY 27TH MARCH):
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IMPORTANT NOTES:
Main Conference presentation files on USB memory
sticks will be provided on arrival. The Main Conference
files will also be made available for download via a
password protected website before the event. Please
print out each presentation if you wish to have hard
copies before the conference and bring them with you.
Also, Wi-Fi access will be available at the hotel venue to
view presentations on laptops and mobile devices.
STREAM A: Funding (FVA), Accounting &
Taxation (TVA)
STREAM B: Prudent Valuation, Initial Margins, KVA &
Related Numerical Methods
STREAM A: xVA, Funding & Capital Value
Adjustment (KVA)
STREAM B: Regulations, Initial Margins,
CCP & Clearing
As always, delegates are not restricted to attend
single streams on the main conference. You have the
opportunity to hop around the different streams and
attend the presentations that benefit you the most.
Both stream presentation times will run concurrently with
each other.
CONFERENCE BOOKINGS: DISCOUNT STRUCTURE:
LOCATION:
Millennium Hotel London Knightsbridge
17 Sloane Street
Knightsbridge
London
SW1X 9NU
Tel: +44 (0) 20 7235 4377
Hotel Website: http://www.millenniumhotels.co.uk/
millenniumknightsbridge/
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Early Bird Discount: 20% Before 30th January
Early Bird Discount: 10% Before 27th February
Main Conference + Workshop (£150 Discount)
Receive an extra 5% discount when booking 3 or
more delegates
70% Academic Discount (FULL-TIME Students Only)
CONFERENCE SPONSORS
MAIN SPONSOR:
Numerix is the leading provider of analytics software and services for structuring, pretrade pricing and analysis, trade capture, valuation, and risk management, with support
for commodities, credit, equities, fixed income, foreign exchange, inflation, and hybrid
instruments. Founded in 1996, Numerix has over 700 clients and 50 partners across more
than 25 countries.
www.numerix.com
GOLD SPONSOR:
CompatibL is a software integrator and consultancy specializing in CVA/FVA/PFE, limits, and
Basel compliance. CompatibL’s unique blend of expertise in quantitative and engineering
aspects of the project makes us an ideal partner for complex implementations involving
advanced Monte Carlo analytics and complex trade, market, and reference data. Our
customers are some of the most respected firms in the financial industry including 4 dealers,
3 supranationals, over 20 central banks, and 3 major financial technology vendors.
For more information visit: compatibl.com
GOLD SPONSOR:
Global Market Solutions provides CCR Solution and consultancy services, including the
most advanced topics related to IM-VM and SA-CCR management.Through technical
and functional expertise on various areas, we are offering a global consulting approach to
customers.
Our business model focuses on providing Solutions combining Business Expertise
(Counterparty Credit Risk through CVA valuation, pricing integration & validation), Project
Management and Software components.Through continuous improvement cycles, we
offer the most suitable services, covering transverse change management, Business and
IT process redesign, and bespoke software components so the whole process chain is
covered.
We conduct project based on proven Project Management standards and best practices,
with High quality targets. We provide the flexibility required in the Investment Banking
environment, combined with high capability to deliver complex IT Projects in a
heterogeneous environment.
For more information visit: iris.globms.com
GOLD SPONSOR:
Global Valuation Ltd. (GVL) is a software firm based in London. GVL’s two products are
Esther, a software-hardware solution for the simulation of large OTC portfolios and megamodels for CVA-FVA-DVA, and Athena, a data service for calibrated models in collaboration
with ICAP. GVL also partners with TriOptima in the delivery of triCalculate, a hosted risk
analytics service for OTC portfolios.
www.global-valuation.com
CONFERENCE SPONSORS
GOLD SPONSOR:
Since its creation in 1986, Murex has played a key role in proposing effective technology
as a catalyst for growth and innovation in capital markets, through the design and
implementation of integrated trading, risk management, processing and post-trade
platforms.
Driven by innovation, Murex’s MX.3 Front-to-Back-to-Risk platform leverages the firm’s
collective experience and expertise, accumulated through its strategic client partnerships, to
offer an unrivalled asset class coverage and best-of-breed business solutions at every step
of the financial trade lifecycle.
Clients worldwide benefit from the MX.3 platform’s modular set of business solutions,
specifically designed to solve the multi-faceted challenges of a transforming financial
industry, while relying on the strength of 2,000 dedicated specialists.
www.murex.com
GOLD SPONSOR:
Quantifi is a leading provider of analytics and risk management software for the global
OTC markets. Winner of Risk Magazine’s 2012 Risk Management Product of the Year, we
are trusted by the world’s most sophisticated financial institutions, including five of the six
largest global banks, to help them better value, trade and risk manage their exposures.
Quantifi Counterparty Risk is a next generation counterparty risk system designed from the
ground up to uniquely satisfy the rapidly evolving needs of regulatory compliance, corporate
reporting and CVA trading and hedging. Incorporating the market’s most advanced, high
performance Monte Carlo engine combined with super-scalable grid computing, Quantifi
Counterparty Risk can support even the largest, most complex portfolios including those
with significant wrong-way risk.
Learn how Quantifi, with first to market support for the latest innovations like Funding
Valuation Adjustments (FVA), can help you today.
www.quantifisolutions.com
GOLD SPONSOR:
Xcelerit is a leading software provider of cross-platform acceleration tools for financial
services, engineering, and research. Xcelerit technology allows Quantitative Analysts to
unlock the performance of accelerators (GPUs and multi-core) with minor modifications
to their existing source code. Our partnerships with leading hardware vendors and systems
integrators have enabled us to deliver a full solution from initial consultancy, training,
hardware integration and software acceleration. Our satisfied customers include the leading
firms in investment banking, asset management, and insurance.
For more information visit: www.xcelerit.com
CONFERENCE SPONSORS
SILVER SPONSOR:
Over the years, financial professionals around the world have looked to Wiley and the
Wiley Finance series with its wide array of bestselling books for the knowledge, insights,
and techniques that are essential to success in financial markets. As the pace of change in
financial markets and instruments quickens, Wiley continues to respond.
With critically acclaimed books by leading thinkers on value investing, risk management,
asset allocation, and many other critical subjects, the Wiley Finance series provides the
financial community with information they want. Written to provide professionals and
individuals with the most current thinking from the best minds in the industry, it is no
wonder that the Wiley Finance series is the first and last stop for financial professionals
looking to increase their financial expertise.
For more information visit: www.wileyglobalfinance.com
PRE-CONFERENCE WORKSHOP DAY – WEDNESDAY 25TH MARCH
PRUDENT VALUATION: REGULATION, CALCULATION & ORGANISATION
BY MARCO BIANCHETTI: HEAD OF FINANCIAL MODELLING & VALIDATION, INTESA SANPAOLO
& UMBERTO CHERUBINI: ASSOCIATE PROFESSOR OF FINANCIAL MATHEMATICS, UNIVERSITY
OF BOLOGNA
DAY SCHEDULE: 09:00 – 17:30
BREAK: 10:30 – 10:45 / LUNCH: 12:30 – 13:30 / BREAK: 15:15 – 15:30
ABSTRACT
Traditionally, quantitative finance practitioners are divided into two populations: those who seek fair values, i.e. means
of price distributions, and those who seek risk measures, i.e. quantiles of price distributions. Fair value people and risk
people typically live in separate lands, and worship different gods: the profit and loss balance sheet, and regulatory capital,
respectively.
Prudent Valuation is a rather unexplored midland which has recently emerged somewhere in between the well known
mainlands of Pricing and Risk Management. In fact, the Capital Requirements Regulation (CRR), requires financial
institutions to apply prudent valuation to all fair value positions. The difference between the prudent value and the fair
value, called Additional Valuation Adjustment (AVA), is directly deducted from the Core Equity Tier 1 (CET1) capital. On
March 31st 2014, the European Banking Authority (EBA) published a draft Regulatory Technical Standards (RTS) for prudent
valuation, to be approved by the EU Commission.
The 90% confidence level required by regulators for prudent valuation links quantiles of price distributions (exit prices) to
capital, thus bridging the gap between the Pricing and Risk Management mainlands, and forcing the crossbreeding of the
fair value and risk populations above.
In this seminar, we will explore the Prudent Valuation land.
SUMMARY
Regulation
AVA Calculation
Prudent Valuation Framework
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Overview
Timeline prudent valuation
Capital Requirement Regulation
575/2013
EBA Regulatory Technical
Standards
Prudent valuation scope
AVA: possible approaches
Examples
Conclusions
Selected References
Definitions and basic assumptions
Market price uncertainty AVA
Close-out costs AVA
Model risk AVA
Unearned credit spreads AVA
Investing and funding costs AVA
Concentrated positions AVA
Future administrative costs AVA
Early termination AVA
Operational risk AVA
Case studies & examples
Implementation
Methodological framework
Operational framework
IT framework
Documentation & reporting
Example of prudent valuation
framework
PRE-CONFERENCE WORKSHOP DAY – WEDNESDAY 25TH MARCH
PRACTICAL AND EFFICIENT XVA IMPLEMENTATIONS IN C++
BY JÖRG LOTZE: TECHNICAL LEAD & CO-FOUNDER, XCELERIT
DAY SCHEDULE: 09:00 – 17:30
BREAK: 10:30 – 10:45 / LUNCH: 12:30 – 13:30 / BREAK: 15:15 – 15:30
ABSTRACT
Since the financial crisis of 2008, financial institutions have radically shifted their focus towards active management of the
risks associated with OTC contracts. It is now standard practice to adjust derivative prices for counterparty credit risk and
for the associated funding costs by means of CVA, DVA, FVA, and others - commonly referred to as xVA. The tight time
constraints, high computational complexity, and ever-changing models require efficient implementations which don’t
become a maintanance burden.
In this workshop you will learn how to implement a practical and efficient xVA framework in C++ that can deal with these
challenges.
Useful C++ techniques will be covered, possible software architectures discussed, and practical examples shown
throughout. The workshop covers a complete view of the xVA computation, including algorithmic optimisations, data
loading, and results aggregation.
SUMMARY
1) xVA Computation and Performance Bottlenecks
3) C++ Architecture
Objectives: Learn how various xVAs are computed and
where the bottlenecks lie
Objectives: Learn how to map the xVA computation to an
efficient C++ architecture
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xVA overview
CVA and DVA typical implementation
Collateral and Netting
FVA typical implementation
Algorithmic optimizations
Performance bottlenecks
Parallel Monte-Carlo framework architecture
Representing the trades
Representing the scenarios
Designing the pricers
Adding Collateral and Netting
Aggregating the results
2) Performance considerations for C++
4) Example Implementation Walkthrough
Objectives: Learn about C++ DOs and DON’Ts in
performance-critical xVA code
Objectives: See an example xVA implementation and learn
how to adapt it to your needs
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Understanding where it hurts
Hardware considerations
Useful C++ design patterns
Data loading and representation
Let the compiler do the work: Templates
Generic algorithms
Architecture overview
Execution performance and profiling results
Testing and continuous integration
Error handling
Parallel execution
Extending the example
MAIN CONFERENCE DAY 1 – THURSDAY 26TH MARCH
STREAM A:
FUNDING (FVA), ACCOUNTING &
TAXATION (TVA)
STREAM B:
PRUDENT VALUATION, INITIAL MARGINS,
KVA & RELATED NUMERICAL METHODS
08:20 – 09:00 REGISTRATION
08:20 – 09:00 REGISTRATION
09:00 – 10:30
MARKET LIQUIDITY VALUATION ADJUSTMENT
THE WAY TO DEFINE THE FUNDING VALUATION
ADJUSTMENT
by Christian Kamtchueng: CTK Head Advisor, ESSEC
Lecturer MSTF
09:00 – 10:30
PRUDENT VALUE CALCULATIONS
by Tanguy Dehapiot: Head of Valuation Risk, BNP Paribas
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FVA debate definition and pricing adjustment status:
market views
MLVA pre Lehman pricing adjustment and sub
Liquidity Risk : definition it is also called Hedging Cost
(transaction cost, bid ask spread consideration...)
MLVA quantification : models and adjustment in
order to quantify it and market practice
FVA quantification : we should adopt a similar
procedure for consistency
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Background and overview
Details on main categories of AVA
The variance ratio test
Diversification effect: where does it come from?
Requirement for some interpretations (Valuation
exposure, Expected value, Day One Profit…)
10:30 – 10:50 BREAK
10:30 – 10:50 BREAK
10:50 – 11:40
FUNDING, NETTING AND ACCOUNTING
by Mats Kjaer: Senior Quantitative Analyst, Derivatives
Research, Bloomberg
10:50 – 12:30
PRACTICAL COMPUTATION OF THE PRUDENT
VALUATION ADJUSTMENT
by Dherminder Kainth: Head Of QuaRC, RBS
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Valuation of derivative portfolios with multiple
counterparties and netting sets.
The funding strategy implied by the Albanese
Andersen FVA accounting proposal.
Some funding strategies and their netting set
additivity.
Implications of netting set (non-)additivity.
11:40 – 12:30
CAPITAL SIMULATIONS AND MODEL RISK
by Claudio Albanese: CEO, Global Valuation Limited
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XVA simulations
CET1 capital simulations
Risk limits: PFEs versus CET1 incremental quantiles
Hurdle rates versus return on equity
Reverse stress testing
The impact of negative rates in Gaussian interest rate
models
Model AVA and market AVA
Capturing correlation effects
Pru val for counterparty and funding effects
Pru val and rnivs
MAIN CONFERENCE DAY 1 – THURSDAY 26TH MARCH
STREAM A: FUNDING (FVA), ACCOUNTING
& TAXATION (TVA)
STREAM B: PRUDENT VALUATION, INITIAL
MARGINS, KVA & RELATED NUMERICAL
METHODS
12:30 – 13:40 LUNCH
12:30 – 13:40 LUNCH
13:40 – 15:10
TVA: TAX VALUATION ADJUSTMENT, EFFECTS OF CVA
RISK WAREHOUSING AND CAPITAL COSTS
by Chris Kenyon: Director, Quantitative Research, CVA,
Lloyds Banking Group
13:40 – 15:10
EFFICIENT NUMERICAL METHODS FOR THE KVA AND
THE INITIAL MARGIN
by Alexander Antonov: Senior Vice President, Quantitative
Research, Numerix
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Credit risk hedging choices and limitations
CVA risk warehousing effects on capital requirements
Capital cost hedging
Accounting and Tax views on profits and PnL
volatility: taxes and tax shields
Tax Valuation Adjustment: double semi-replication
and P+Q measures
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Essential building blocks for the KVA & IM
The beasts: simulated Future VaR, Future PEF and
Future CVA
Future VaR/PFE: brute force simulation and efficient
approximation
Future CVA: theory and practice
Numerical comparison for cross-currency swap
portfolio
15:10 – 15:30 BREAK
15:10 – 15:30 BREAK
15:30 – 16:15
FVA, RING FENCING & LIQUIDITY MEASURES
by Moorad Choudhry: Professor at the Department of
Mathematical Sciences, Brunel University
15:30 – 16:15
COST OF COLLATERAL FOR CLEARING
by Dmitry Pugachevsky: Director of Research, Quantifi (to
be confirmed)
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LCR & NSFR
• Relationship between FVA & Regulatory Liquidity
measures
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Ring Fencing
• What are the implications for FVA of separation?
Initial Margin Costs and Variation Margin Costs (IMC/
VMC)
MAIN CONFERENCE DAY 1 – THURSDAY 26TH MARCH
STREAM A: FUNDING (FVA), ACCOUNTING
& TAXATION (TVA)
16:15 – 17:00
DID BASEL PUT THE FINAL NAIL IN THE COFFIN OF CSA
DISCOUNTING?
by Alexandre Bon: Product Manager, Enterprise Risk
Management, MUREX
FVA In Presence Of Stochastic Funding Spreads, Initial
Margins And Imperfect Collateralisation Conditions
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FVA for economic value & incremental pricing
FVA via CSA discounting or Exposure simulation
Funding spreads and exposure co-dependence
Collateralisation regimes in the New Normal and
Initial Margins
STREAM B: PRUDENT VALUATION, INITIAL
MARGINS, KVA & RELATED NUMERICAL
METHODS
16:15 – 17:00
CHALLENGING THE ASSUMPTIONS BEHIND THE
TRADITIONAL 10-DAY MODEL FOR THE MARGIN
PERIOD OF RISK
by Alexander Sokol: CEO and Head of Quant Research,
CompatibL
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The popular 10-day model for the margin period
of risk is found to make a number of assumptions
that are inconsistent with market practice and the
relevant legal agreements (IMA/CSA)
An improved model is proposed that considers the
remedies and suspension rights available within IMA/
CSA (accounting their variations), the firm’s policies
in availing itself of these rights against different types
of counterparties,
and the typical time it takes to exercise them in
practice.
The proposed model captures the operation of IMA/
CSA in considerably greater detail than the model
currently used by most practitioners, while remaining
fully tractable and computationally effective.
The inclusion of these effects had significant impact
on XVA and CCR capital for several representative
portfolios we considered.
17:00 – 18:00
PANEL: HOW WILL THE LATEST REGULATIONS IMPACT CVA
This panel will discuss and expand on the topics presented at the conference:
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Prudent Valuation
Challenges to Implementation of Prudent Valuation
Regulatory impact on initial margins
TVA: Tax Valuation Adjustment
Capital Requirements Regulation
Funding (FVA) & Accounting
EBA’s standardization effort
CHAIRED BY - Marco Bianchetti: Head Of Financial Modelling & Validation, Intesa Sanpaolo
PANELISTS: (TO BE CONFIRMED)
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Christian Kamtchueng: CTK Head Advisor, ESSEC Lecturer MSTF
Moises Gerstein: Head of CVA Trading Desk- Emerging Markets, ING Bank
Dherminder Kainth: Head Of QuaRC, RBS
Alexander Sokol: CEO and Head of Quant Research, CompatibL
18:00 NETWORKING RECEPTION
Stay and continue the day’s discussions and network with food and drink.
MAIN CONFERENCE DAY 2 – FRIDAY 27TH MARCH
STREAM A:
XVA, FUNDING & CAPITAL VALUE
ADJUSTMENT (KVA)
STREAM B:
REGULATIONS, INITIAL MARGINS, CCP &
CLEARING
09:00 – 10:30
KVA: IMPACT OF RWA COST OF CAPITAL ON PRICING
by Youssef Elouerkhaoui: Global Head of Credit
Derivatives, Quantitative Research, Citigroup
09:00 – 10:30
IMPACT OF INITIAL MARGIN ON CCP AND BILATERAL
OTC - FUNDING, VALUATION AND CAPITAL
by Gordon Lee: CVA, Funding and Capital Quantitative
Analyst & Marko Jevremovic: Quantitative Analyst, UBS
Investment Bank
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Motivation: pricing derivatives in a Basel III framework
Unified pricing with CVA, funding and capital
Fundamental invariance principle for CVA, funding
and capital
The solution: CVA, DVA, FVA, MVA and KVA
Moving from RWA hurdle rates to KVA
Application
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Regulatory background to the push towards
Collateralisation and Initial Margin
CCP and its role in clearing
How to take into account of these costs in pricing
• XVA
• Cost of Initial Margin
• Cost of Capital
• Basel 3 Capital computation with regards to
Bilateral OTC, CCP and Clearing
10:30 – 10:50 BREAK
10:30 – 10:50 BREAK
10:50 – 11:40
FAST, ROBUST AND PORTABLE RECALIBRATION OF
STOCHASTIC VOLATILITY MODELS
by Matthew Dixon: Assistant Professor of Finance and
Analytics, School of Management, University of San
Francisco
10:50 – 11:40
INITIAL MARGIN AND VARIATION MARGIN FOR NONCENTRALLY CLEARED OTC DERIVATIVES AND THE NEW
COST OF CLEARING ON CCP’S
by Patrice Touraine, Associate Director, &
Matthieu Maurice, Associate Director, Global Market
Solutions
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Robust and frequent recalibration of stochastic
volatility (SV) models reduces model risk in CVA
pricing.
Replacing the FFT algorithm with Fourier-Cosine
spectral transformations improves convergence
properties.
Combining differential evolution and local optimizers
reduces convergence to local optima.
Using the Xcelerit API automatically results in
efficient deployment of the same C++ modelling
code on many-core and multi-core CPU and GPUs.
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New arbitrage opportunities
Synergy
Convergence of Methodologies’ across central
counterparties
MAIN CONFERENCE DAY 2 – FRIDAY 27TH MARCH
STREAM A:
XVA, FUNDING & CAPITAL VALUE
ADJUSTMENT (KVA)
STREAM B:
REGULATIONS, INITIAL MARGINS, CCP &
CLEARING
11:40 – 12:30
THE XVA PANEL: THE LATEST CHALLENGES OF A MOVE TOWARDS XVA
This panel will discuss the challenges of a move towards xVA
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The practical implementation of xVA
Discuss the increased importance of xVA
What is the potential of xVA sales?
The Incorporation and desk management
Optimal operating structures for the xVA desk
What are the barriers? How can they be surmounted?
What are the rewards for early adopters?
Timeliness of the xVA availability? What is the advantage to real-time or near
real-time availability?
In-house software - versus turnkey solution? Can you trust the black box?
Are today’s Quants ready and able to take on this challenge?
CHAIRED BY - Hicham Lahlou: CEO & Co-Founder, Xcelerit
PANELISTS: (TO BE CONFIRMED)
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Claudio Albanese: CEO, Global Valuation Limited
Andrew Green: Head of Quantitative Research, CVA/FVA, Lloyds Banking Group
Gordon Lee: CVA, Funding and Capital Quantitative Analyst, UBS Investment Bank
12:30 – 13:30 LUNCH
12:30 – 13:30 LUNCH
13:30 – 15:00
BALANCE SHEET XVA: INCORPORATING BALANCE
SHEET IMPACT INTO CVA, FVA AND KVA
by Andrew Green: Head of Quantitative Research, CVA/
FVA, Lloyds Banking Group
13:30 – 15:00
A RISK FRAMEWORK FOR CENTRAL COUNTERPARTY
EXPOSURES
by Jon Gregory: Partner, Solum Financial Partners
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The bank balance sheet and capital
• Capital ratio
• Leverage ratio
• A simple balance sheet model with derivatives
• Extending XVA to Portfolios
• Balance Sheet XVA
15:00 – 15:15 BREAK
We will present some theoretical results around the
exposure of clearing members to a central counterparty
(CCP) and analyse the underlying risks and behavioural
aspects related to central clearing.
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The exposure to a CCP
EE and PFE to a CCP
Auction pricing behaviour
Balance between initial margin and default funds
15:00 – 15:15 BREAK
MAIN CONFERENCE DAY 2 – FRIDAY 27TH MARCH
STREAM A: XVA, FUNDING & CAPITAL
VALUE ADJUSTMENT (KVA)
STREAM B: REGULATIONS, INITIAL
MARGINS, CCP & CLEARING
15:15 - 16:30
XVA - THEORY VS MARKET PRICING
by Milena Imamovic-Tomasovic: Head Of CVA & Funding Methodology, Deutsche Bank
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Bullet points to follow
END OF CONFERENCE
THE 4TH CVA CONFERENCE
MILLENNIUM HOTEL LONDON KNIGHTSBRIDGE
25TH / 26TH / 27TH MARCH 2015
Early Bird Discount:
Early Bird Discount:
20% Before 30th January
10% Before 27th February
 Conference + Workshop (£150 Discount):
£2268.20 + UK VAT
£2458.10 + UK VAT
£2648.00 + UK VAT
 Conference Only:
£1519.20 + UK VAT
£1709.10 + UK VAT
£1899.00 + UK VAT
 Workshop Only (No Discount):
£899.00 + UK VAT
£899.00 + UK VAT
£899.00 + UK VAT
CONFERENCE FEE STRUCTURE
Regular Event Fee
 Special Discount Code:
70% Academic Discount / FULL-TIME Students Only
DELEGATE DETAILS
TO REGISTER, PLEASE EMAIL THE COMPLETED BOOKING FORM TO:
COMPANY:
sales@wbstraining.com
NAME:
JOB TITLE/POSITION:
NAME:
JOB TITLE/POSITION:
OR VIA FAX TO:
+44 (0)1273 201 360
FLIGHT DETAILS:
All delegates flying into London on the morning of the event are
reminded that they should arrive 30 minutes before the workshop
starts for registration. The hotels West End location is approximately
1 hour from all 3 main London airports, Heathrow, Gatwick and City.
Returning flights should equally allow for the events finishing time.
NAME:
JOB TITLE/POSITION:
DEPARTMENT:
ADDRESS:
SPONSORSHIP:
World Business Strategies Ltd, offer sponsorship opportunities for
all events, e-mail headers and the web site. Contact sponsorship via
telephone on: +44 (0)1273 201 352
DISCLAIMER:
World Business Strategies command the rights to cancel or alter any
part of this programme.
CANCELLATION:
COUNTRY:
TELEPHONE:
E-MAIL:
DATE:
SIGNATURE:
REGISTRATION:
Tel: +44 (0)1273 201 352 / Fax: +44 (0)1273 201 360
By completing of this form the client hereby enters into a agreement
stating that if a cancellation is made by fax or writing within two
weeks of the event date no refund shall be given. However in certain
circumstances a credit note maybe issued for future events.
Prior to the two week deadline, cancellations are subject to a fee of
25% of the overall course cost.
DISCOUNT STRUCTURE:
The discount is available on any day permutation, and can be
combined across delegates within the same company (only at the time
of booking and not retrospectively).
CONTACT:
www.wbstraining.com / sales@wbstraining.com