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.

PRESENTATION I – Derivatives FVA and Recommended Bank Funding Policy

Moorad Choudhry, Department of Mathematical Sciences, Brunel UniversityApproximately 35 minutes

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

Presentation explores derivatives FVA from a real-world treasury perspective, how it impacts your balance sheet and how you need to address it.
 

Professor Choudhry's presentation will address:

  • Funding Value Adjustment
    • Incorporating FVA
    • Uncollateralised IRS
  • FVA Calculation
    • FVA Treatment
  • FVA and Internal Funds Policy
    • FVA and FTP
    • COF Curves
    • Recommended FTP Model
    • Funding Profile
    • DFP - Summary of Charging Principles
    • Derivatives Funding Policy

PRESENTATION II – A Consistent Treatment of XVAs

Moorad Choudhry, Department of Mathematical Sciences, Brunel UniversityApproximately 35 minutes

Presenter: Ilja Faerman, VP of Financial Engineering, Numerix

Presentation reviews risky discounting, outlines the limitations of this approach, and discusses a framework for a consistent approach to XVA Calculation.
 

Mr. Faerman will discuss:

  • Why risky discounting isn't enough
  • Framework for consistent XVA Calculation
  • Taking CSA into account
  • Calculating Total Valuation Adjustment
  • XVA Case Studies

 
About the Presenters

Moorad Choudhry, Department of Mathematical Sciences, Brunel University

Professor Choudhry is at the Department of Mathematical Sciences, Brunel University. He is also Honorary Professor at Kent University Business School and Visiting Teaching Fellow at the Department of Management, Birkbeck, University of London. Moorad has over 25 years experience in investment banking in the City of London and was latterly IPO Treasurer at The Royal Bank of Scotland. Prior to that he was Head of Treasury at RBS Corporate Banking, Head of Treasury at Europe Arab Bank, Head of Treasury at KBC Financial Products and vice-president in structured finance services at JPMorgan Chase Bank. He is author of "The Principles of Banking" (John Wiley & Sons 2012).

Ilja Faerman, VP of Financial Engineering, Numerix

Mr. Faerman holds expertise in pricing complex derivatives in multiple asset classes. He has been involved in multiple projects on calculation of market and counterparty credit risk associated with large portfolios of simple and complex instruments. In his recent projects, he is focusing on economic and regulatory capital allocation and coherent modeling of risk factors for CVA/DVA figures. Mr. Faerman is a seasoned presenter on pricing and risk management of derivatives at professional trainings and courses, both for Numerix customers and for a broader audience (e.g. Bocconi Structured Products Course 2013). He holds a B.S. in Computer Science and M.S. in Finance. Located in the Frankfurt office.

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