Numerix To Host Upcoming Webinar: “Deciphering FVA: Understanding, Modeling and Using Funding Value Adjustment”
Join Numerix on Tuesday, July 24th For A Webinar Exploring the Concept of Funding Value Adjustment
New York – July 17, 2012– Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management,will host a complimentary webinar on Tuesday, July 24 at 10:30 AM EDT where Dr. Alexander Sokol of CompatibL will lead a discussion examining FVA and its role in derivative valuations, trading, and liquidity management.
Dr. Sokol will first examine the role of FVA in making OIS valuations consistent with real-life Credit Support Annexes (CSAs) which have thresholds and minimum transfer amounts (MTA) as well as curve selection for the funding cost (FCA) and funding benefit (FBA) adjustments. He will also discuss wrong way risk in FVA – the correlation of funding requirements included in FVA with funding costs.
The second part of the webinar will focus on the role of FVA in CVA/DVA modeling where FVA captures the funding cost or benefit of collateral choices which also affect CVA/DVA. This is especially important for Central Counterparties (CCPs) where the absence of CVA is offset by the increased funding cost for overcollateralization required by central clearing.
Dr. Sokol will cover the following key topics:
FVA and OIS valuation in the presence of CSA thresholds and MTAs
The role of FVA in cost/benefit analysis of switching to central clearing
Selecting the FCA and FBA curves
FVA and liquidity management
Wrong way risk in FVA
This webinar is complimentary, but registration is required as space is limited. To register:
Dr. Alexander Sokol, CEO of CompatibL, formerly of Numerix (Founder)
Dr. Sokol is a founder of Numerix, a leading derivatives and risk analytics vendor, and CompatibL, a Numerix implementation and custom development partner. Alexander’s research interests include CVA and wrong way risk modeling. He is the author of “A Practical Guide to Monte Carlo CVA,” published in “Lessons from the Financial Crisis” edited by Arthur M. Berd (Risk Books, 2010). Alexander holds a PhD from the Landau Institute for Theoretical Physics.
Moderator: Jim Jockle, Senior Vice President, Marketing
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.
Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.
Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. Since its inception in 1996, over 700 clients and 75 partners across more than 25 countries have come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. With offices in New York, London, Paris, Frankfurt, Milan, Stockholm, Tokyo, Hong Kong, Singapore, Dubai, South Korea, India and Australia, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines. For more information please visit www.numerix.com.
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