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4th Annual Fair and Prudent Valuation for Derivatives

The practicalities of Prudent Valuation and application of Fair Value principles for XVA adjustments

23-25 November 2016
Marriot West India Quay, London, United Kingdom

Conference Workshop

FRTB, PruVal and the Capital Valuation Adjustment:Interaction and Effects

The Fundamental Review of the Trading Book seeks to harmonise the treatment of market risk across different jurisdictions. This represents a radical shift in the approach banks must take to valuation, and has consequences both for the use of the Prudent Valuation Adjustment and the Capital Valuation Adjustment. This workshop will focus on the effect of FRTB on valuation adjustments and framework, giving delegates an in-depth understanding of the requirements and effects of this regulation.

Workshop Moderator: Gary Wong, Partner

Company: Global Valuation Ltd

Why You Should Attend

4th Annual Fair and Prudent Valuation for Derivatives

The Prudent Valuation Adjustment represents a balance sheet constraint to banks operating in an increasingly tough economy, while XVA adjustments continue to challenge fair value principles. This marcus evans event will enable banks to examine the latest implementations of PruVal methodologies as well as understand the interaction of fair value principles with two of the most recent XVAs – KVA and MVA. By discussing the various applications of PruVal as well as the reporting requirements and interaction with other regulations, banks will be able to optimise their own processes against an industry benchmark. A close look at the merits and drawbacks of KVA and MVA will put banks in the best position going forward to maximise revenue and minimise risk.

Key Topics

  • Benchmark the practical approaches to doing PruVal, including the latest EBA reporting guidelines
  • See how PruVal interacts with other regulations, including Solvent Wind-down, CCAR and RRD
  • Discover how to apply fair value alongside KVA and the impact of capital on fair valuation
  • Define the emerging practices for MVA and relate them to fair value principles
  • Previous Attendees Include

    Axa Bank Europe, Bank of Ireland, BayernLB, BNP Paribas, CIBC, Commerzbank AG, Depfa Bank Plc, GmbH, J.P. Morgan, Lloyds Bank, Nedbank, Rabobank, Rate Validation Services, Royal Bank of Canada, Santander UK Plc, Societe Generale, Statkraft As, Aurexia Consulting, Barclays, BNP Paribas, Citi, Credit Suisse Group, DekaBank, Deutsche Bank, Global Valuation Limited, HSBC, Mitsubishi UFJ Securities, Morgan Stanley, Nomura, RBC Capital Markets, SNS Bank NV, UBS.

    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

    Ragveer Brar
    Head of Valuation and Controls
    Bank of England

    Gary Plant
    Managing Director, Valuations
    Credit Suisse

    Mark Washtell
    Director, Global Head Product, Control Valuations

    Tanguy Dehapiot
    Head of Valuation Risk
    BNP Paribas

    Andrew Lyon
    Director, Global Valuation Group
    Deutsche Bank

    Paul d’Arcy
    Executive Director and Global Head,Valuation Review Group
    Morgan Stanley

    Mihail Turlakov
    Head of CVA/FVA Trading

    Laurent-Olivier Valigny
    Head of Valuation Risk
    HSBC Bank

    Click Here For Full Agenda

    Voice of Our Customers
    • “Excellent conference bringing together valuations and product control people together. Provided platform for discussion and debates. Presentations covered most relevant topics. Look forward to next one to follow soon.” Director, Valuations Methodology, RBC
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    Event Contact

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

    Melini Hadjitheori

    PO Box 24797
    CY-1304 Nicosia

    +357 22 849 308
    Fax: +357 22 849 394