XVA has been of great interest—and of equally great concern—to OTC derivatives market participants in recent years due to increasing awareness of the heavy costs, capital requirements, as well as the implementation and management challenges involved. Additionally, practices in trading, risk management, accounting and regulation of OTC derivatives continue to evolve in response to what seems like an ever-changing environment.
On Tuesday, April 23rd Numerix will host an interactive XVA Forum being held at WeWork BKC in Mumbai. Andrew McClelland, PhD, Director of Quantitative Research at Numerix will begin the discussion with an overview of XVA and the related challenges the industry is focused on today.
The presentation will include an examination of XVA Greeks, the role of Algorithmic Differentiation, and how to account for the costs of collateral transformation / liquidity transformation. The modeling of basis spreads and how those are reflected in the cost of capital utilization (KVA) will be discussed, in addition to Initial Margin requirements, ISDA SIMM & clearing house rules, and how the associated costs can be reflected in pricing (Margin Valuation Adjustment - MVA).
A panel of industry leaders will then offer their expert insights and points of view on the following:
- The different states of maturity and gaps in XVA adoption in India and in Asia
- The most dominant XVA management challenges facing the Indian market today
- The long-run benefits of pricing in XVAs now, rather than waiting
- The workability of optimizing and hedging XVA costs
- The core factors to consider when setting up an XVA desk
Agenda
10:30 AM - 11:00 AM Registration
11:00 AM - 12:00 PM Evolution in XVA Methodologies and
Market Practices
Speaker: Andrew McClelland
12:00 PM - 1:00 PM Panel: The Impact and Implementation
of XVA and SIMM
Speakers: Vitthal Kulkarni, Erdem Ozgul,
Steve Yen
1:00 PM - 2:00 PM Networking Lunch
Location
WeWork BKC
Enam Sambhav
C-20, G Block, Bandra-Kurla Complex Mumbai MH 400051
Don't Wait, Space is Limited - Secure Your Spot Today!
Attendance is complimentary, but registration is required.
Speakers
Vitthal Kulkarni, Senior Vice President and Head of Treasury Analytics, HDFC Bank
Vitthal Kulkarni has 20 + years experience in quantitative analytics with leading banks in London, Singapore and Mumbai. He has covered wide range of quantitative modelling aspects such as valuation & risk model developments, various system implementations and independent validations. Vitthal's current work focusses on XVA implementation, Model Risk management and AI/ML techniques in financial markets. He regularly contributes to conferences and industry round tables to improve understanding of the dynamic marketplace as well as regulations.
Andrew McClelland, PhD, Director of Quantitative Research, Numerix
Andrew McClelland’s quantitative research at Numerix focuses on XVA pricing and hedging, generating counterparty credit risk metrics for structured products, and estimating risk model parameters via time-series estimation. He earned his PhD in finance at the Queensland University of Technology for a thesis on financial econometrics. He considered markets exhibiting crash feedback, option pricing for such markets, and parameter estimation for such markets using particle filtering methods. Dr. McClelland’s work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.
Erdem Ozgul, Managing Director, Numerix
Erdem Ozgul manages sales and operations for Numerix in South Asia, covering India, South East Asian countries, Australia, and New Zealand. He is an avid change agent helping treasury and capital market participants to proactively address industry and client demands. Erdem holds a MBA degree in Financial Engineering from ESSEC in Paris and a Bachelor of Science in Electronics Engineering from Bogazici University in Istanbul.
Steve Yen, Managing Director of Business Development, Asia Pacific, Numerix
Steve Yen is Managing Director of Business Development, Asia Pacific. He joined Numerix in 2012. Prior to joining Numerix, Steve was the Sales Manager at Thomson Reuters in the Trade & Risk Management Business Practices. Steve earned a Master’s Degree in Engineering from the University of Pennsylvania.
