Numerix is proud to present this Master Class Collection of Educational Virtual Seminars

The series is a collection of on-demand Master Class video lectures which provide hands-on technical instruction for pressing challenges around OIS discounting, XVA, and FVA. Each program can be watched On-Demand as individual lectures or combined as a set for the virtual conference experience. 

XVA Master Class Virtual Seminar

Approximately 70 minutes

Presenters: Moorad Choudhry, Department of Mathematical Sciences, Brunel University

Ilja Faerman, VP of Financial Engineering, Numerix

To survive and thrive in the post-crisis era of derivatives trading, banks are incorporating new pricing adjustments into derivatives prices to account for counterparty risk and funding costs. These pricing adjustments, such as CVA, FVA and other “XVAs”, allow banks to more accurately capture the true risk, profitability and capital consumption of their derivatives businesses. However, sometimes the XVAs may appear to overlap (such as DVA and FVA) and the pricing adjustments may not be intuitive.

This On-Demand XVA Master Class Virtual Seminar builds on our popular Master Class Series to demystify the XVAs and analyze how these adjustments are handled and in the real world as well as how various XVAs behave under different market conditions and how to approach them consistently.


FVA Master Class Virtual Seminar

Approximately 100 minutes

Presenters: Alexander Antonov, SVP of Quantitative Research, Numerix

Ion Mihai, PhD, Client Technical Solutions Group, Numerix

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.


OIS Master Class Virtual Seminar

Approximately 100 minutes

Presenters: Moorad Choudhry – Author, Principles of Banking and Professor at the Department of Mathematical Sciences, Brunel University

Ion Mihai, PhD, Client Technical Solutions Group, Numerix
Olga Us - Senior Quantitative Analyst, Numerix
In Part I of the OIS Discounting Master Class Video Series, participants will learn about the recent paradigm shift in derivative valuation practices from single curve LIBOR discounting to a dual curve/multi-curve approach. Presenters Moorad Choudhry and Olga Us will discuss best practices and important considerations in implementing an OIS discounting approach. In Part II, participants will learn about the relationship between Overnight Index Swap (OIS) discounting and Funding Valuation Adjustment (FVA).

The video lectures will offer insights into the pricing challenges present in the evolving funding dynamics for OTC Derivatives - including complications from optionality embedded in Credit Support Annexes (CSAs). Presenters Moorad Choudhry and Ion Mihai breakdown the fundamentals of OIS discounting and FVA, then we explore interplay between these two concepts in the true cost of funding OTC Derivatives.