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

 

Sign Up Now

Complete the form below to access these On-Demand Master Class Videos.

Select Form: 

Form #7: Video

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
newsletter issue - Jun 8, 2022

Thinking Derivatively – June 2022 Newsletter

product

Institutional-Grade Crypto Analytics and Real-Time Risk Management

on-demand webinar

LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help

white paper

White paper | The State of XVA Usage in Latin America – A 2022 Update

white paper

White paper | Decrypting Crypto: Explaining the Market and Understanding the Requirements for...

newsletter issue - May 10, 2022

Thinking Derivatively – May 2022 Newsletter

news - article pdf - Jun 1, 2022

Numerix Wins Best Implementation at a Sell-Side Firm : WatersTechnology Sell-Side Technology Awards...

news - article pdf - Jun 1, 2022

Numerix - Data and Analytics Vendor of the Year : GlobalCapital’s Americas Derivatives Awards 2020

newsletter issue - Apr 12, 2022

Thinking Derivatively – April 2022 Newsletter

white paper

Checklist | Where are you in your SEC Rule 18f-4 implementation?

news - article pdf - Apr 4, 2022

Women in Technology and Data Awards 2022: Rising Star (vendor) – Data, Engineering & Product...

white paper

Article | Archegos Collapse Raises Red Flags About Risk Management Systems—and Underscores Need for...