The heated debate around the legitimacy of Funding Value Adjustment (FVA), has simmered and FVA charges from funding desks have become a reality. Quantitative practitioners are now tasked with the incorporation of FVA into their derivative valuations – but developing and implementing an accurate FVA framework can present significant theoretical and practical challenges.
This On-Demand Master Class Video Seminar Series features two video presentations helping practitioners to get up to speed on the fundamentals of FVA theory and dynamics, gain insight on the Numerix proposed approach to FVA for general instruments and explore the relationship between OIS & FVA as well as put the two into context of the larger ecosystem of valuation adjustments. The videos can be watched at your convenience as individual presentations or at once as a half-day seminar.
KEYNOTE PRESENTATION - FVA for General Instruments
Approximately 100 minutes
Presenter: Alexander Antonov, SVP of Quantitative Research, Numerix
Presentation reviews current FVA theory and outlines a new universal FVA framework by Numerix.
Dr. Antonov's keynote will address:
- Funding Value Adjustment Theory Framework
- Single rate classical models
- Multi-rate models for general accounts
- Theoretical and numerical issues
- FVA approximation for general instruments (including payments and exercises)
- Numerical experiments for Bermudan Options: Comparison of the exact FVA with its different approximations
- Pricing Deals Using Analytics
PRESENTATION II - The OIS and FVA Relationship
Approximately 45 minutes
Presenter: Ion Mihai, Quantitative Analyst, Numerix
Presentation examines the fundamentals of OIS discounting and Funding Value Adjustment for OTC derivatives, delving into the relationship between the two concepts.
Mr. Mihai's will discuss:
- Collateral Discounting and Risk Neutral Discounting
- Credit Support Annex
- A Primer on Funding Value Adjustment
- An FVA Case Study
- Can you pass on this charge?
- Regulation
- Summary and Conclusions
