9th Edition Derivative Funding and Valuations: IBOR Transition, Initial Margin and Capital 2019

Topics

• The price of margin for both cleared and bilateral trades and evaluate MVA as a means to do this
• Derivatives valuations under IBOR transition with focus on legacy contracts and the new discounting curve
• How machine learning and other tools such as cloud computing can optimise the XVA desk
• Price future capital costs into todays derivatives with particular focus on FRTB-CVA
• How competition in derivatives particularly with the corporate swaps market has put pressure on pricing

Who should Attend

Senior attendees with responsibilities in:

• CVA Trading
• XVA Trading
• MVA Trading
• KVA Trading
• Head of Valuations Methodology
• XVA/XVA Trading (CVA/MVA/KVA//FVA/DVA/COLVA)
• XVA Quantitative analysts
• Head of counterparty credit risk (CEM)