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Understanding XVA

This course presents the main adjustments that are now important considerations that are factored into the value of OTC derivatives. These adjustments are CVA, DVA, FVA, LVA, COLVA, KVA and MVA. Each of these concepts are interlinked and present banks with an opportunity to position their derivative trading business to have optimal outcomes in terms of funding, credit and capital.


PROGRAM:
TITLE: Understanding XVA
CE:
FEE: Member - $935.00 including GST
Non Member - $1,166.00 including GST
 
DATES:
Sydney Mar 7, 2018
9:00am - 5:00pm

About the Speaker

Ben Watson, CEO, Maroon Analytics Australia

Ben Watson is the CEO of Maroon Analytics Australia, a Quantitative Analytics Consultancy that helps Banks and Financial institutions with any aspect of their quant requirements. Maroon has been helping its clients with some of the more complex issues that they face today, such as OIS discounting, FVA, CVA/DVA and quantitative impacts of regulation.  

Ben came to the Maroon business with 22+ years working for Investment Banks as a Quantitative Analyst. Up to 2012 he was the APAC regional head of the Quant function for RBS and before that the local head of Quant at ABN AMRO Australia.  He has a long track record of building real time pricing and risk management systems for traders and risk management teams. In 2012 he managed the successful OIS migration of a large derivatives trading book for a global bank. 


Who is this for?

This workshop will be very useful for anyone interested in how couterparty credit is priced and the risk is managed.

how you will benefit

Upon completing this workshop you will:

  • have been presented with the drivers that have resulted in the rise of the XVA's
  • have a detailed examination of the different adjustments that are needed to be made to OTC derivatives
  • be familiar with the techniques used to price the XVA adjustments
  • be aware of the challenges that banks have when calculating and managing XVA's
  • have a comprehension of how the XVA's interact with each other
  • have a working Excel models that demonstrate many of the XVA calculations demonstrated on the course. 

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