4th Annual Derivatives Funding and Valuation

How can FVA, DVA, CVA, hedging challenges and collateral requirements be combined in a modern derivatives trading business?

Banking, Finance, Investing, Accounting, Education & Learning

4th Annual Derivatives Funding and Valuation 22-23 Sep 2014 Hilton London Kensington Hotel, United Kingdom
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Conference Workshop

Collateral Trading Strategy: The impact of collateral on derivatives funding, valuation and pricing

This workshop will enable participants to learn about the impact of the choice between bilateral and centrally cleared derivative trades

Conference Workshop

FVA and Collateral Trading; Innovative Collateral Management Strategies

The afternoon roundtables will include topics such as FVA and collateral trading; CCPs tranparency, fairness and reduced risk; adapting trading behaviour to innovative collateral management strategy

Why You Should Attend

The new challenge of FVA, and the continuing challenges of DVA and CVA, means that trading behaviour and the nature of trades needs to be adapted to these valuation adjustments. Derivatives valuation has never been more complex with the impact of capital and collateral requirements as well the challenge of funding and debt optimisation. Trading, treasury and quants need to come together from across banks, large and small, to establish some sort of consensus over the highly charged derivative valuation debate.

This conference will focus on FVA, whilst nevertheless considering every pricing and valuation adjustment in the derivatives business. The precise definition of FVA requires clarification, which will then allow scrutiny of how to price FVA into the business and how this adjustment will interact with CVA, DVA, KVA. In this context, collateral management and hedging strategy needs to evolve in line with valuation changes as the feasibility of hedging FVA needs to be assessed. While confident steps have been taken towards the final design and implementation of the XVA desk, the interaction of valuation adjustments remains incredibly complex. This all exists in an ever changing and uncertain regulatory landscape.

Key Topics

Determine the precise definition of FVA

Develop a pricing methodology for the incorporation of FVA

Discuss the development of XVA

Compare CVA and FVA hedging strategy

Assess the options in PVA compliance

From: September 22, 2014 00:00
To: September 23, 2014 23:59

Hilton London Kensington Hotel, 179-199 Holland Park Ave, W11 4UL, United Kingdom


Banking, Finance, Investing, Accounting, Education & Learning



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Contact phone
+357 22 849 408


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