workshop 2020-XVA
workshop 2020-XVA
XVA Workshop
09:00 – 10:00
XVAs: Trends and Changes
- How XVA has been affected by market volatility in 2020
- Modelling collateral
- Understanding initial margin
- Managing wrong-way risk
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 OIS discounting, XVA pricing, Initial Margin modeling, and market and credit risk management.
Ben has recently developed a full-featured risk management system called Quantics. This system is currently being rolled out to a wholesale fund manager that is being used to manage the credit and market risk, as well as provides full profit and loss attribution on a large credit portfolio.
Ben came to the Maroon business with 25 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 he was the local head of Quantitative Analytics at ABN AMRO Australia. Working directly with traders he has a long track record of building real-time pricing and risk management systems. He has built Credit, Bond, Swaps, FWD FX, Swaptions, Inflation Bonds and Swaps, MBS, CDS pricing and trading systems for the front office. While at RBS he managed the successful OIS migration of a large derivatives trading book and since working as has a consultant, he has advised and helped implement a number OIS migration projects.
As part of the Marron Analytics offering, Ben has developed a number of training courses in OIS Discounting, Counterparty Credit, and CVA, XVA, Initial Margin, Stress Testing, Pricing Fixed Income products, VaR/ Expected Shortfall and VBA for Finance. He has delivered these training courses across Australia, Chile, UAE, China, Malaysia, UK, Taiwan, Mauritius, Hong Kong, Singapore, USA and New Zealand.
10:15 – 11:15
FRTB - CVA
- New FRTB-CVA explained
- Capital comparison across regulatory models
- Capital charge under the FRTB’s standardised approach
- Basic approach (BA-CVA)
- Standardised approach (SA-CVA)
I have over 15 years of banking experience in both front office Trading and Risk management. I have worked on a wide range of asset classes – IR, FX, Options, xVA, etc. – and in different geography - Madrid, HK, NY and Singapore. In my current position at ANZ, I oversee xVA risk, Counterparty Credit risk and Regulatory capital for Markets. I have a double degree in Industrial engineering from the Madrid Polytechnic University and the Polytechnic Institute of Grenoble, and a master in Finance.
11:30 – 12:30
FVA:
- FVA – new addition to XVA
- FCA & FBA – Funding cost and benefit adjustments
- Trade profitability
- Accounting versus management perspectives relating to FVA
- The effect of the LIBOR transition on FVA
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 OIS discounting, XVA pricing, Initial Margin modeling, and market and credit risk management.
Ben has recently developed a full-featured risk management system called Quantics. This system is currently being rolled out to a wholesale fund manager that is being used to manage the credit and market risk, as well as provides full profit and loss attribution on a large credit portfolio.
Ben came to the Maroon business with 25 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 he was the local head of Quantitative Analytics at ABN AMRO Australia. Working directly with traders he has a long track record of building real-time pricing and risk management systems. He has built Credit, Bond, Swaps, FWD FX, Swaptions, Inflation Bonds and Swaps, MBS, CDS pricing and trading systems for the front office. While at RBS he managed the successful OIS migration of a large derivatives trading book and since working as has a consultant, he has advised and helped implement a number OIS migration projects.
As part of the Marron Analytics offering, Ben has developed a number of training courses in OIS Discounting, Counterparty Credit, and CVA, XVA, Initial Margin, Stress Testing, Pricing Fixed Income products, VaR/ Expected Shortfall and VBA for Finance. He has delivered these training courses across Australia, Chile, UAE, China, Malaysia, UK, Taiwan, Mauritius, Hong Kong, Singapore, USA and New Zealand.
09:00 – 10:00
MVA and KVA Session 1 – XVA Frameworks with MVA and KVA
- Building a solid intuition of XVA in a static setup
- Interrelationships of XVAs including MVA and KVA
- What gives rise to FVA, MVA and KVA : Firm and Shareholder Valuation
- KVA and MVA in a continuous time setup
- Economic capital KVA
Rodney is a director and XVA quantitative analyst in the global markets business of ANZ Banking Group, and is based in Singapore. He co-ordinates the team working on XVA development for the Group's in-house Sky trading and risk management platform. Rodney has presented on XVA (including machine learning), interest rate modelling and credit modelling topics for all major international quant and risk conferences and was recently co-author of "XVA Analysis From the Balance Sheet" published in Quantitative Finance (Vol 21, 2021 - Issue 1) . Prior to joining ANZ in 2017, Rodney worked with the XVA desk at National Australia Bank in Sydney and also has experience as a director in financial services consulting with PwC Australia. He holds a PhD in Finance from EDHEC Business School (Singapore) and is a Fellow of the Actuaries Institute.
10:15 – 11:15
MVA and KVA Session 2 – Computational Strategies and Case Study
- XVA Computation Strategies
- Economic and regulatory approaches
- Deep learning in XVA
- Insights from a swap portfolio case study
Rodney is a director and XVA quantitative analyst in the global markets business of ANZ Banking Group, and is based in Singapore. He co-ordinates the team working on XVA development for the Group's in-house Sky trading and risk management platform. Rodney has presented on XVA (including machine learning), interest rate modelling and credit modelling topics for all major international quant and risk conferences and was recently co-author of "XVA Analysis From the Balance Sheet" published in Quantitative Finance (Vol 21, 2021 - Issue 1) . Prior to joining ANZ in 2017, Rodney worked with the XVA desk at National Australia Bank in Sydney and also has experience as a director in financial services consulting with PwC Australia. He holds a PhD in Finance from EDHEC Business School (Singapore) and is a Fellow of the Actuaries Institute.
11:30 – 12:30
Data Management for XVAs:
- XVA - from concept to the treasury system
- XVA Data Management - Sources, Validations, Flows and Formats
- Managing the XVA Computation Challenge
Rajat is the Director and Chief Product Officer at FinMechanics, where he has been working towards building the next generation of Treasury & Single Dealer Platforms of the post financial crisis era. His experience spans setting up financial and non-financial data, deal booking & lifecycle management, portfolio management, pricing, structuring, risk management & simulation, regulatory reporting (BASEL & local), collateral management, accounting and End of Day processes, rate sourcing & distribution, dealer & sales margining.
Rajat has also been actively involved in multiple consulting engagements with banks and financial institutions across Asia Pacific.
He holds a Masters Degree in Engineering from IIT Delhi, and MBA from Judge Business School, University of Cambridge.
Prahlad Kumar is Senior Consultant, and XVA & Credit Risk development head in FinMechanics. He is currently based out of FinMechanics Netherlands office in Amsterdam. For past 4 years, he has been working on building risk and derivative pricing capabilities in FM Converge, which is FinMechanics’ Cross-asset Front office, Operations & Risk treasury platform. Over these years, he has helped execute several FM Converge implementation projects globally and is now responsible for leading a team of developers to enhance and take FM Converge platform’s XVA and Credit Risk capabilities to new heights.
He graduated from Indian Institute of Technology, Bombay with a Bachelor’s Degree in Mechanical Engineering and a Minor Degree in Computer Science Engineering.
09:00 – 10:00
Machine learning and deep learning for XVA
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Recent Advances in Machine Learning and Finance
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Deep Learning
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Architecture of Deep Learning
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Backpropagation in finance
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Application of Machine Learning for XVA calculation
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Estimation of CDS spread via Regression
Osamu Tsuchiya is a Quantitative Analyst at Simplex Inc. He has worked for Dresdner Kleinwort and Citigroup as a rates and hybrid derivatives quant analyst. He has also worked for XVA modeling.
Additionally, he has experience working as a financial risk management consultant for Ernst and Young.
Before moving to finance, Osamu worked in the field of mathematical physics. He holds a PhD in Theoretical and Mathematical Physics from The University of Tokyo. His book "The Practical Approach to XVA: The Evolution of Derivatives Valuation After the Financial Crisis" was published in 2019.
10:15 – 11:15
XVA in the future
- The role of XVA – is adding value or adding complexity?
- How can XVA help companies going forward?
- Impact of XVA on your P&L and risk management?
- What is the road to recovery?
Lionel is XVA trader covering APAC region for BNP Paribas, Global Markets, based in Hong Kong. He joined BNP Paribas in Paris after graduating in 2011 as a quantitative analyst before he was relocated to Hong Kong in 2012. In previous roles, Lionel has been working on risk management and resources optimization (capital, liquidity, balance sheet) across Global Markets activities.
He holds a Master’s Degree in Financial engineering from the French engineering school of Telecom SudParis.