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The 3rd CVA Conference

Start date

End date

March 19, 2014 March 21, 2014

Where

London, United Kingdom [Map it]

Event registration link

Details

This Conference will focus on the practical aspects of CVA through its ever changing complex evolution. Now the compliance deadline has passed we will examine the impact of regulatory changes and capital charges on running a CVA desk. The latest CVA modelling techniques will be presented, however this conference will also look at the front-to-back process that is involved in the CVA calculation. Models are one part of it, the other would be the overview of the complexity of the data required, which type of data, calibrations etc, providing a more holistic view of the whole process rather than focusing on the math models only. This also includes reviewing how to manage, calculate & price CVA across portfolios and the balance sheet. Furthermore, it explores the need for CVA computational, acceleration & speed ups and the much debated evolution of funding value adjustments. Discussing the latest strategies for XVA trading, management, pricing adjustments & desk organization.

The 3rd CVA conference will explore the ever changing complex infrastructure of the daily CVA business within a financial institution. So attend the only two streamed conference of its kind that is dedicated to your function. Other conferences may have CVA as part of the programme (or a single stream), however not an entire two streamed event. Delegates will get access to all main conference presentation files, available to download via our password protected website before the event.

Pre-Conference Workshop Day: Wednesday 19th March: 

Long Term Portfolio Simulation for CVA, Funding, Limits, and Capital by Alexander Sokol: CEO and Head of Quant Research, CompatibL

“This year’s workshop will include new research on models in real world measure by Hull, Sokol, and White. The new material is partially based on this paper available for download from SSRN: http://ssrn.com/abstract=2403067
”.

"The workshop will focus on the specifics of constructing and calibrating models for CVA/PFE which must simulate the evolution of a large number of risk factors for long time horizons and with incomplete calibration data."

Practical Approaches for Pricing Credit, Collateral and Funding Costs In Derivatives by Justin Clarke: Edu-Risk International

"The term XVA is now being used as an all-encompassing name for all of these potential adjustments. We will examine the appropriateness of these pricing adjustments, their source, the relationship between them and where they do and do not apply."

Workshop Schedule: 09:00 – 15:30
Roundtable Schedule: 15.50 - 17.30

Roundtables:

Table No. 1: The Latest Strategies for XVA Management with Moises Gerstein: Head of CVA Trading Desk- Emerging Markets, ING Bank

Moises's table shall be discussing the latest strategies for XVA management, pricing adjustments & desk organization.

Table No. 2: The Latest CVA Modelling Techniques with Alexander Sokol: CEO and Head of Quant Research, CompatibL. 

Alexander's table discusses reconciling CVA and capital charge models with macroeconomic theory and historical data.

Table No. 3: The Impact of Regulatory Changes and Capital Charges with Gary Wong: CEO, Ipotecs.

Gary's table will be examining the next generation technology for regulatory demands – running credit risk and market risk on a consistent platform, minimising tail risk and capital charge, CVA/DVA for exotics. 

Main Conference: Thursday 20th March:

Stream A: Managing, Calculating & Pricing CVA Across Portfolios

Stream B: The Evolution of Funding Value Adjustments / Latest Trading Techniques

Main Conference: Friday 21st March:

Stream A: CVA Computational, Acceleration & Speed Ups / Latest CVA Modelling Techniques

Stream B: Impact of Regulatory Changes, FVA & Capital Charges

Invited & Confirmed Presenters:

Claudio Albanese: Professor, Department of Mathematics, King’s College London & CEO: Global Valuation Limited
Luca Capriotti: Director, Head Quantitative Strategies Global Credit Products EMEA, Credit Suisse
Niels Charpillon: Senior Quantitative Analyst, FIRST, BNP Paribas
Justin Clarke: Edu-Risk International
Tanguy Dehapiot: Head of Valuation, Group Risk Management, BNP Paribas
Youssef Elouerkhaoui: Global Head of Credit Derivatives, Quantitative Research, Citigroup
Dariusz Gatarek: CVA, Risk Methodology Specialist, Unicredit
Moises Gerstein: Head of CVA Trading Desk- Emerging Markets, ING Bank
Jon Gregory: Partner, Solum Financial Partners
Milena Imamovic-Tomasovic: Head Of CVA & Funding Methodology, Deutsche Bank
Serguei Issakov: Global Head of Quantitative Research, Numerix

Chris Kenyon, Director, CVA / FVA Quantitative Research, Lloyds Banking Group
Mats Kjaer: Director, Quantitative Analytics, Barclays

Gordon Lee: Director, CVA Quant Team, UBS
Jörg Lotze: Technical Lead & Co-Founder, Xcelerit 
Dmitry Pugachevsky: Director of Research, Quantifi
Jakob Sidenius: Head of Model Development, Nordea Markets

Alexander Sokol: CEO and Head of Quant Research, CompatibL 
Mihail Turlakov: Head of CVA/FVA, Sberbank CIB
Gary Wong: CEO, Ipotecs

Important notes:

Main Conference presentation files on USB memory sticks will be provided on arrival. The Main Conference files will also be made available for download via a password protected website before the event. Please print out each presentation if you wish to have hard copies before the conference and bring them with you.

Also, Wi-Fi access will be available at the hotel venue to view presentations on laptops, iPads etc.

Conference Bookings: Discount Structure:

  • Early Bird Discount: 20% Before 31st January
  • Early Bird Discount: 10% Before 28th February
  • Main Conference + Workshop (£150 Discount)
  • Receive an extra 5% discount when booking 3 or more delegates
  • 70% Academic Discount (FULL-TIME Students Only)

Main Sponsor: Numerix

Numerix is the leading provider of analytics software and services for structuring, pre-trade pricing and analysis, trade capture, valuation, and risk management, with support for commodities, credit, equities, fixed income, foreign exchange, inflation, and hybrid instruments. Founded in 1996, Numerix has over 700 clients and 50 partners across more than 25 countries.

www.numerix.com

Gold Sponsor: CompatibL

CompatibL is a software integrator and consultancy specializing in CVA/FVA/PFE, limits, and Basel compliance. CompatibL’s unique blend of expertise in quantitative and engineering aspects of the project makes us an ideal partner for complex implementations involving advanced Monte Carlo analytics and complex trade, market, and reference data. Our customers are some of the most respected firms in the financial industry including 4 dealers, 3 supranationals, over 20 central banks, and 3 major financial technology vendors.

For more information visit: compatibl.com

Gold Sponsor: Quantifi

Quantifi Solutions

Quantifi is a leading provider of analytics and risk management software for the global OTC markets. Winner of Risk Magazine’s 2012 Risk Management Product of the Year, we are trusted by the world's most sophisticated financial institutions, including five of the six largest global banks, to help them better value, trade and risk manage their exposures.

Quantifi Counterparty Risk is a next generation counterparty risk system designed from the ground up to uniquely satisfy the rapidly evolving needs of regulatory compliance, corporate reporting and CVA trading and hedging. Incorporating the market’s most advanced, high performance Monte Carlo engine combined with super-scalable grid computing, Quantifi Counterparty Risk can support even the largest, most complex portfolios including those with significant wrong-way risk.

Learn how Quantifi, with first to market support for the latest innovations like Funding Valuation Adjustments (FVA), can help you today.

www.quantifisolutions.com

Gold Sponsor: Xcelerit

Xcelerit is a leading software provider of cross-platform acceleration tools for financial services, engineering, and research. Xcelerit technology allows Quantitative Analysts to unlock the performance of accelerators (GPUs and multi-core) with minor modifications to their existing source code. Our partnerships with leading hardware vendors and systems integrators have enabled us to deliver a full solution from initial consultancy, training, hardware integration and software acceleration. Our satisfied customers include the leading firms in investment banking, asset management, and insurance.

For more information visit: www.xcelerit.com

Silver Sponsor: Wiley

Over the years, financial professionals around the world have looked to Wiley and the Wiley Finance series with its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley continues to respond.

With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

www.wileyglobalfinance.com