workshop 2020-XVA

workshop 2020-XVA

XVA Workshop

09:0010:00

XVAs: Trends and Changes

09:00 - 10:00

  • How XVA has been affected by market volatility in 2020
  • Modelling collateral
  • Understanding initial margin
  • Managing wrong-way risk

10:1511:15

FRTB - CVA

10:15 - 11:15

  • 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)
David Sasson

Head of Counterparty Credit Risk, xVA risk, CCR capital

ANZ

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.

11:3012:30

FVA:

11:30 - 12:30

  • 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

09:0010:00

MVA and KVA Session 1 – XVA Frameworks with MVA and KVA

09:00 - 10:00

  • 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 Hoskinson

Director, Quant Analyst, Strategic Trading and Funding

ANZ Global Markets

Rodney Hoskinson is a frequent speaker at international quantitative finance conferences and a Director in the front office quantitative team for the ANZ Banking Group’s Global Markets business. In this role based in Singapore, he is responsible for XVA development and support for the Group's in-house Sky trading and risk platform. Before joining ANZ he was manager, KVA desk quantitative analysis in Fixed Income, Currencies and Commodities at National Australia Bank in Sydney. Previously he was a Director at PwC Australia focussed on financial services consulting and audit support in market risk and economic capital. He holds a PhD in Finance from EDHEC Business School.

10:1511:15

MVA and KVA Session 2 – Computational Strategies and Case Study

10:15 - 11:15

  • XVA Computation Strategies
  • Economic and regulatory approaches
  • Deep learning in XVA
  • Insights from a swap portfolio case study
Rodney Hoskinson

Director, Quant Analyst, Strategic Trading and Funding

ANZ Global Markets

Rodney Hoskinson is a frequent speaker at international quantitative finance conferences and a Director in the front office quantitative team for the ANZ Banking Group’s Global Markets business. In this role based in Singapore, he is responsible for XVA development and support for the Group's in-house Sky trading and risk platform. Before joining ANZ he was manager, KVA desk quantitative analysis in Fixed Income, Currencies and Commodities at National Australia Bank in Sydney. Previously he was a Director at PwC Australia focussed on financial services consulting and audit support in market risk and economic capital. He holds a PhD in Finance from EDHEC Business School.

11:3012:30

Data Management for XVAs:

11:30 - 12:30

  • XVA calculations and capital and funding optimization
  • Impact of regulatory requirements on XVA data management 
  • Data sources, data validations and data flows

09:0010:00

Machine learning and deep learning for XVA

09:00 - 10:00

  • Applications of machine learning in increasing XVA calculation efficiency
  • Funding approximation through deep learning
  • ML for credit curve mapping
  • Deep BSDE approach to XVA

10:1511:15

XVA in the future

10:15 - 11:15

  • 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?