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Front Office RWA Management

Incorporating the lifetime cost of capital into pricing methodologies in pursuit of targeted ROE

26-27 June 2014
London Marriott Hotel Marble Arch, London, United Kingdom

Conference Workshop

All for one and one for all: Best Practices in XVA Trading

This workshop will enable participants to discuss the practical real world options in XVA trading and the impact on front office trading.

Workshop Moderator: Claudio Albanese

Company: CEO, Global Valuation Limited


Why You Should Attend

Front Office RWA Management

As the lifetime cost of capital is now a function of the behaviour of RWAs, banks need to develop highly attuned pricing methodologies in order to incorporate the never before seen importance of RWAs in the front office. RWAs have become the chief measure of a bank’s profitability; as such the importance of developing a successful pricing methodology cannot be underestimated. The reality of ROE has not been matching ROE targets as equity consumption and capital costs have been consistently undervalued, as such both traders and risk teams require a new RWA strategy. As traders take on more awareness of RWE impact, so in turn the central function requires a shake up.

 

This marcus evans event considers the incorporation of the lifetime cost of capital into pricing methodologies in pursuit of targeted ROE. This conference will allow delegates to benchmark against the governance of RWA management and the basics of developing a pricing methodology. Competitive advantage can be gained in assessing RWA management in terms of counterparty relationships, the impact of the CVA capital charge and the derivatives business as a whole. Enabling delegates to stay up to date with Basel III risk and capital regulation, this conference provides an invaluable scrutiny of RWA impact on front office activities.

 


Key Topics

  • Benchmark what the optimum set-up for front office RWA management is: Who are the stakeholders and where is this best managed?
  • Refine methodologies for calculating the impact of RWAs on cost of capital across the life-cycle of a trade
  • Discover how CVA and RWA hedging can mitigate costs associated with RWAs and the CVA capital charge
  • Amend practices to reflect the impact that pricing capital into trade life-cycles will have

  • Why Choose marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.




    Event Partners


    Practical Insights From

    Giovanni Cesari
    Global Head of Front Office CVA/FVA/RWA
    UBS

    David Blondell
    Director, RWA and CVA
    Credit Suisse

    Edward Ground
    Executive Director, Credit Portfolio Trading
    JPMorgan

    Fraser McArthur
    Director, CVA/RWA
    Barclays

    Mark Penney
    Head of capital management
    HSBC

    Markus Starck
    Front Office Risk and Portfolio Optimisation Specialist
    Commerzbank

    Andrew Green
    Director, capital and portfolio management
    Lloyds Banking Group

    Doo Bo Chung
    Director, capital and portfolio management
    RBS

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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Veronika Sapronova


    101 Finsbury Pavement
    London
    EC2A 1ER

    Telephone:
    +44 (0)20 3002 3435
    Fax: +44 (0)20 3002 3016
    Email: veronikasa@marcusevansuk.com