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New Variables in Pricing Derivatives: Incorporating Collateral & Funding

 

The global evolution of derivative pricing in the past few years has completely transformed how banks carry out valuation. What started with CVA now brings in DVA, FVA, and future challenges such as RVA and Prudential Valuation. These changes have an impact across multiple departments and jurisdictions, bringing treasury and collateral management into contact with trading desks and risk managers. Implementing these changes and optimising these new operations means that banks are now starting to talk about the XVA desk a model beyond the siloed approach where CVA, DVA, collateral management, FVA, and RWA optimization can be carried out in an efficient and unified context. Whilst it is a notoriously tricky topic, banks need to get to grips with these topics, and going on from there learn to report and practically control the risks arising from these complex but inter-related issues, with special reference to fast/gapping market movements and stressed markets.
These issues will be covered in the New Variables in Pricing Derivatives: Incorporating Collateral & Funding training with examples and case studies, as detailed in the course outline.

 


Location:
 Venue to be Confirmed, Singapore, Singapore
Country:
  Singapore
Start Date:
 Nov 10, 2014
End Date:
 Nov 11, 2014
Organizer:
 N/A
Sectors:
 Business & Finance
Education
 
** To register please Click Here


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