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6th Annual XVA Forum: Funding, Capital and Valuation

Ensure your approach to pricing in capital, funding and margin are consistent with emerging standards

19-21 September 2016
Hilton Canary Wharf, London, United Kingdom

Conference Workshop

SIMM methodology and capital requirements for CVA under FRTB

This workshop, led by industry expert Gary Wong, will give attendees fresh and insightful viewpoints on SIMM methodology and capital requirements for CVA under FRTB. These new regulatory guidelines will be looked at from various viewpoints and will give participants an interactive experience that will help them to gain new perspective on a complicated and evolving topic that will have long-term significance at their financial institution.

Workshop Moderator: Gary Wong, Partner

Company: Global Valuation Limited

Why You Should Attend

6th Annual XVA Forum: Funding, Capital and Valuation

XVA still remains one of the most contentious topics in the industry.  Whilst some of the nascent challenges associated with this issue have now been resolved, added complexities are emerging every year. There have been great strides forward that have helped to overcome issues surrounding CVA and OIS discounting but now KVA and MVA are introducing new challenges, as the industry struggles to find a cohesive and comprehensive way to ensure that institutions are properly pricing instruments. This premier marcus evans event will put a spotlight on KVA and MVA, whilst providing updates in FVA and then tying the subjects together to provide advice on resource optimisation and XVA aggregation.

Key Topics

  • Discover how KVA is being used to capture the cost of capital
  • Learn what impact new rules for initial margin will mean for pricing
  • Ensure that FVA methodologies are up to date, including developments with the NSFR and LCR
  • See how peers are aggregating XVA calculations to optimise resources
  • Previous Attendees Include

    Deutsche Bank
    Lloyds Banking Group
    Credit Agricole
    BNP Paribas
    Credit Suisse
    Bank of America
    Morgan Stanley
    Bank of England
    Mitsubishi UFJ
    Deutsche Pfandbriefbank AG
    ...and many more

    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 Sponsors
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    Event Partners

    Practical Insights From

    Gonzalo Garcia-Kenny
    Managing Director, Head of Portfolio Optimisation Desk

    Sarah B. Tremel
    European Head of Analytics, Global Valuation Group

    Guillaume Dieu
    Global Head of XVA
    BNP Paribas

    Alan Baxter
    Deputy Global Head, XVA

    Jeremy Vice
    Managing Director, Head of CVA Trading

    Robert Smith
    Managing Director, XVA
    Banco Santander

    Angelo De Pol
    Director, Market Risk Management
    Credit Suisse

    Georges Mansourati
    Head of XVA and Capital Management

    Click Here For Full Agenda

    Voice of Our Customers
    • "Extremely well-prepared event. Very interesting, practical and informative talks from the conference speakers. I would recommend this event anytime and I hope to be able to attend the next one!" Societe Generale
    • “Excellent overview and good level of detail to make clear what theoretical concepts mean for derivatives pricing.” ABN AMRO
    • “Comprehensive and well structured programme with an open and engaging style of presentation.” Investec
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    Event Contact

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

    Constandinos Vinall

    marcus evans (Europe) Ltd
    PO Box 24797
    1304 Nicosia, Cyprus

    +357 22849 380
    Fax: +357 22849 394