xVA Evolution: CVA Reporting to Active Management

6 Oct 2015

Financial institutions are challenged by the emerging valuation adjustments (XVAs) and corresponding changes in the regulatory requirements. Banks are adapting their trading, pricing, risk and capital management practices and processes to ensure sustainable profitability and sound risk management of derivatives trading.

Co-hosted by Quantifi and KPMG Toronto


Co-hosted by Quantifi and KPMG Toronto, senior xVA stakeholders including desk traders, risk managers, finance and technology professionals gathered to share their views, ideas and practical approaches to effectively implementing XVA related changes across an organisation.



  • Alexander Shipilov, Partner, KPMG Toronto 

  • Dmitry Pugachevsky,  Director of Research, Quantifi

  • Ryan Ferguson, MD, XVA Desk, Scotiabank

  • Ali Najmaie, AVP, Model Development, TD Bank Group


  • Political challenges in XVA implementations

  • Managing PnL impact and double counting

  • XVA hedging and capital optimization

  • Impact from forthcoming regulatory requirements (FRTB, Review of CVA Risk Framework, CCR, IFRS 9/13)

  • Systems Implications

  • Methodology and computational challenges with CVA, FVA, KVA, MVA


KPMG Toronto

333 Bay Street, 46th Floor

Ontario, M5H 2S5


  • Registration/Breakfast 07.30 to 08.00

  • Panel Discussion: 08.00 to 09.15​

  • Q&A Session: 09.15 to 09.30