KVA & MVA - From Fundamentals to Practical Applications
| Date: | 19-Oct-15 to 20-Oct-15 |
| Location: | The Kingsley Hotel / London / United Kingdom |
| Category: | Education |
As the XVA valuation framework continues to evolve, today’s derivative practitioners are facing a new range of complicated computational challenges as they work hard to achieve their end goal profitability. With ever-increasing regulations being implemented, industry professionals are looking at the best practices in dealing with the growing list of XVA pricing adjustments.
The introduction of the March 2015 Basel Committee and International Organization of Securities Commissions’ (IOSCO) revision to the original framework for margin requirements for non-centrally cleared derivatives has the market once again contemplating current practices, while evaluating future preparations and operational processes. Also this March, the Basel Committee and IOSCO agreed
to adopt a phase-in arrangement for exchange variations margins. In addition, the revision stated that the beginning of the phase-in period for collecting and posting initial margin on non-centrally cleared trades was moved from December 2015 to September 2016—with the full phase-in schedule
being adjusted to reflect the delay.
After the understanding and implementation of CVA, FVA and DVA, regulators have introduced KVA and MVA, which is augmenting the challenges practitioners are facing. With this in mind, Risk is delighted to host the two day ‘KVA & MVA – From Fundamentals to Practical Applications’ training course.
The course, which will be led by Andrew Green and Chris Kenyon from Lloyds Bank, will start with the fundamentals of capital and Initial Margin, covering topics such as regulation with pricing impact, CCP cost, and KVA and MVA by replication and regression. The second day will focus on portfolio and balance sheet covering topics such as KVA at portfolio level and the leverage ratio and risk warehousing pricing.
The introduction of the March 2015 Basel Committee and International Organization of Securities Commissions’ (IOSCO) revision to the original framework for margin requirements for non-centrally cleared derivatives has the market once again contemplating current practices, while evaluating future preparations and operational processes. Also this March, the Basel Committee and IOSCO agreed
to adopt a phase-in arrangement for exchange variations margins. In addition, the revision stated that the beginning of the phase-in period for collecting and posting initial margin on non-centrally cleared trades was moved from December 2015 to September 2016—with the full phase-in schedule
being adjusted to reflect the delay.
After the understanding and implementation of CVA, FVA and DVA, regulators have introduced KVA and MVA, which is augmenting the challenges practitioners are facing. With this in mind, Risk is delighted to host the two day ‘KVA & MVA – From Fundamentals to Practical Applications’ training course.
The course, which will be led by Andrew Green and Chris Kenyon from Lloyds Bank, will start with the fundamentals of capital and Initial Margin, covering topics such as regulation with pricing impact, CCP cost, and KVA and MVA by replication and regression. The second day will focus on portfolio and balance sheet covering topics such as KVA at portfolio level and the leverage ratio and risk warehousing pricing.
Exhibitors
Andrew Green, Chris Kenyon
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