Managing Complexities of CVA, DVA and FVA
Regulation including Dodd-Frank, Basel lll, MiFID ll and EMIR are increasing the cost of capital and driving the need to more accurately measure the risks and profitability of OTC derivatives. At Quantifi's London seminar, senior practitioners discussed the triad of valuation adjustments (CVA, DVA, FVA) which have to be taken into account when measuring profitability, the developments in model optimisation and the impact of proposed regulation on counterparty risk

Agenda

  • Measuring trade profitability with CVA, DVA and FVA
  • Challenges of trading and hedging CVA and DVA
  • Developments in modelling and performance optimisation
  • Requirements and impact of regulations on counterparty risk

Speakers

  • Dmitry Pugachevsky, Director of Research, Quantifi
  • Paul Lawton, CVA Trading Professional, ex-BNP Paribas
  • Andrew Green, Head of Quantitative Credit Developments, Lloyds Banking Group
  • Simon O’Callaghan, CVA Risk Manager, Barclays

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