Marcus Evans Group will hold the two days training 2014 New Variables in Pricing Derivatives: Incorporating Collateral & Funding in Hong Kong on June 23 and June 24, 2014.
2014 New Variables in Pricing Derivatives: Incorporating Collateral & Funding examines going beyond the silo approach of individual topics by putting together the impact of CVA, DVA, Collateral Management and FVA into the practical environment of the bank.
2014 New Variables in Pricing Derivatives: Incorporating Collateral & Funding will address all of these issues will be covered in the two-day course with examples and case studies.
Key Topics
Brief review of CVA, DVA, collateral and funding cost (FVA)
Collateral and Funding Cost / FVA
New collateral trading strategy to minimise CVA / DVA / FVA and RWA
Implement collateral trading strategies to minimize CVA/FVA and RWAs
Beyond Regulatory Reporting and standard CVA / DVA / FVA
Exhibitors' Profile
Why You Should Attend New Variables in Pricing Derivatives: Incorporating Collateral & Funding
The global evolution of derivative pricing in the past few years has completely transformed how banks carry out valuation. What started with CVA now brings in DVA, FVA, and future challenges such as RVA and Prudential Valuation. These changes have an impact across multiple departments and jurisdictions, bringing treasury and collateral management into contact with trading desks and risk managers. Implementing these changes and optimising these new operations means that banks are now starting to talk about the XVA desk a model beyond the siloed approach where CVA, DVA, collateral management, FVA, and RWA optimization can be carried out in an efficient and unified context. Whilst it is a notoriously tricky topic, banks need to get to grips with these topics, and going on from there learn to report and practically control the risks arising from these complex but inter-related issues, with special reference to fast/gapping market movements and stressed markets.
Organizer's Profile