The 5th WBS Annual Initial Margin, XVA & KVA Conference (London)
Taking place in London’s Grand Connaught Rooms on March 16th, 17th, and 18th, the 5th Annual Initial Margin, XVA & KVA Conference will cover today’s hottest topics in quantitative finance with the first day of the conference dedicated to Jon Gregory’s presentation on the latest developments in the XVA world, and Alexander Sokol’s research titled Retrofitting AAD to Your Existing C++ Library: A Step by Step Guide with TapeScript and QuantLibAdjoint.
- SIMM and associated bilateral MVA
- Practical implementing of SIMM for Non Cleared Initial Margin Rules
- Internal Model on MVA: Initial and Bi-Lateral Margin
- Modeling Collateralized Exposure Under Dynamic Initial Margin Requirements
- Using AAD for Initial Margin, Capital, and KVA: A Case Study with TapeScript
- Accounting and Prudential Status of DVA, FVA and KVA
- Pricing and Hedging of Options on XVA: CVA, FVA, MVA, KVA
- Managing & Optimizing KVA – a front office perspective
- Will KVA eat out CVA and FVA? The Capital Structure of XVA replication
- XVA/KVA Pricing and Management from a Desk Perspective
- Pricing, Management & Optimization of KVA
- XVA setup, from the trading desk angle
- The Impact of FRTB-CVA on CVA management & KVA
- FRTB-CVA Deriving a model for KVA
- Wrong-way Risk Done Right
- Quantitative Practicalities of CVA and Other Adjustments
- The “FVA debate” continues
- "Multi-currency Funding with all the Trimmings"
- “What do we mean by value?"
- “GPU vs. AAD”
Click here to see the complete list of confirmed and invited attendees.