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
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.
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
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