Practical strategies to best incorporate KVA into day-to-day derivative trading and understand the impact of MVA on capital
WHY YOU SHOULD JOIN
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
London
United Kingdom
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