XVA Australia
XVA Australia
XVA Australia 2019
Day 1, Tuesday 13 August 2019
08:30
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Registration
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09:00
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XVA explained – the global view on XVA
- Introduction: how did we get here, importance of XVA to industry
- Pre and post - crisis pricing of derivatives
- The XVAs challenge
- The state of the XVA debate
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10:00
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Morning Coffee Break
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10:30
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CVA
- CVA – Current best practice
- Loss given default
- Wrong-way risk (WWR)
- CVA calculations
- CDA rates in CVA calculations
- How banks manage CVA?
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12:00
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Lunch
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13:00
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FRTB- CVA
- New FRTB-CVA explained
- Capital comparison across regulatory models
- Capital charge under the FRTB’s standardised approach
- Basic approach (BA-CVA)
- Standardised approach (SA-CVA)
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14:30
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Afternoon Coffee Break
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15:00
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MVA
- MVA as a future IM interest
- What are the components of MVA?
- Variation Margin vs. Initial Margin
- Margin calculations challenges
- Initial margin (IM) and its projection to the future
- Complexity of the MVA: Characterize the valuation effects of initial margin financing (MVA)
- MVA: ISDA SIMM and CCP initial margin
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16:30
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End of Day 1
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Day 2, Wednesday 14 August 2019
08:30
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Registration
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09:00
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KVA
- KVA - explanation, use and calculation
- Methodologies
- Different approaches to calculating KVA - industry debate
- Estimating KVA for IMM and Non-IMM
- KVA and FVA - overlaps?
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10:30
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Morning Coffee Break
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11:00
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FVA
- FVA – explanation, methodologies
- Funding strategies and costs
- Funding Benefit Adjustment (FBA)
- Funding Cost Adjustment (FCA)
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12:30
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Lunch
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13:30
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Case Study: Putting XVA into practice
- Example: Margining
- Combining XVAs successfully
- Value-add of XVA crossover
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14:30
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Afternoon Coffee Break
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15:00
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The Future of XVA
- A second look at pricing derivatives and XVAs
- Market infrastructure and systemic aspects of XVAs
- XVA – the challenges to come
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16:30
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End of training course
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