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9th Annual Practical KVA and CVA Forum

Practical strategies to best incorporate KVA into day-to-day derivative trading and understand the impact of MVA on capital

19-21 March 2018
Marriott West India Quay, London, United Kingdom


Why You Should Attend

9th Annual Practical KVA and CVA Forum

This marcus evans conference will enable you to adapt your pricing strategies to incorporate KVA in a practical manner. You will evaluate your governance strategies to best manage KVA and the other XVAs, and increase transparency across the multiple desks. You will learn how best to manage MVA and how this interacts with KVA, to ensure you don’t overcompensate within the derivative price.

KVA has been an area of discussion for many years, however, this has been very theoretical, and not many institutions had begun incorporating it into their derivative pricings. Institutions now want to advance their strategies to best incorporate KVA in a practical manner into their derivative pricings, whilst adjusting their governance strategies to best manage this extra work. In addition, the introduction of MVA has caused issues with additional capital charges, and needs to be managed in conjunction with KVA.

 


Key Topics

  • HSBC discuss practical KVA implementation issues
  • Wells Fargo examine desk structuring issues for XVA
  • Scotiabank evaluates the role of technology in the move towards real-time calculations
  • Credit Agricole show fast XVA sensitivities computation
  • Banca IMI debate the interaction and overlap of capital and funding

    • Previous Attendees Include

    Bank of America Merrill Lynch
    Banco Sabadell
    BNP Paribas
    Commerzbank
    Credit Suisse
    HSBC
    ING
    JP Morgan
    KBC Bank
    Lloyds
    Mediobanca
    Mizhuo International
    Nordea
    Rabobank
    Santanter
    Sberbank
    Societe Generale
    Swedbank
    UBS
    Wells Fargo


    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

    Andrea Prampolini
    Head of Credit Treasury, XVA Trading
    Banca IMI

    Jerome De Vasconcelos
    Global Head of Counterparty Exposure Management and EMEA Head of Structured Credit
    HSBC

    Jeremy Vice
    Managing Director, Head of CVA Trading
    UniCredit

    Claire Ellingford
    Credit Portfolio Group
    JP Morgan

    Moez Mrad
    Managing Director, Head of XVA and Quantitative Research
    Credit Agricole – CIB

    Chris Kenyon
    Head of XVA Quant Modelling
    MUFG Securities EMEA

    Lukas Kuenstl
    Senior XVA Trader
    UBS

    Richard Kenyon
    Senior Lecturer
    Birmingham City University

    Click Here For Full Agenda

    Voice of Our Customers
    • “Very interesting discussions and presentations. The big turnout from different industry players is definitely an asset as it allows you to benchmark yourself with your peers,” – KBC, Risk Advisor
    • “I found the conference to be one of the most useful I have attended so it was well worth the effort.” – Managing Director, CVA Desk, Santander
    • “Very good. Excellent standard of speakers and highly relevant. Both broad and deep. Theoretical and practical.“ – Financial Modelling, Investec
    • “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!” – Director, XVA Sales, Societe Generale
    • “Great conference. The right level of technical and strategic content.” – Head of Resource Management, RBS
    Latest Conference News & Resources



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    Event Contact

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

    Yiota Andreou

    marcus evans (Europe) Ltd
    PO Box 24797
    Cyprus

    Telephone:     +357 22 849 404
    Fax: +357 22 849 310
    Email: YiotaA@marcusevanscy.com