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Sessions at The 5th Annual Initial Margin, XVA & KVA Conference: on Friday 18th March

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  • Initial Margin, Funding & Regulatory Capital Stream

    Initial Margin, Funding & Regulatory Capital Stream

    08:30: Morning Welcome Coffee

    09.00 – 10.30: Practical considerations of implementing SIMM for Non Cleared Initial Margin Rules

    Background to SIMM
    SIMM Methodology Recap
    Lessons learnt from ISDA Backtesting Exercise
    Implementation issues that will need to be addressed
    Presenter: Gordon Lee: Executive Director, Portfolio Quantitative Analytics, UBS

    10.30 – 10.50: Morning Break and Networking Opportunities

    10.50 - 11.40: Modeling Collateralized Exposure Under Dynamic Initial Margin Requirements

    Dynamic vs. static initial margin
    Estimating initial margin on a path
    Analytical results for scaling down expected exposure without initial margin
    Estimating conditional expected exposure on a path
    Presenter: Michael Pykhtin: Manager, Quantitative Risk, Federal Reserve Board

    11.40 - 12.30: Using AAD for Initial Margin, Capital, and KVA: A Case Study with TapeScript

    Bullet points to be confirmed

    Alexander Sokol: CEO and Head of Quant Research, CompatibL

    12.30 - 13.30: Lunch

    13.30 - 14.20: The Cost of Collateral for Clearing

    Regulations and Swap Clearing
    MVA – Margin Valuation Adjustment
    The Cost of funding Initial Margins (IMCA)
    The Cost and Benefit of funding Variation Margins (VMCA, VMBA)
    FVA, KVA – funding components of XVA
    OTC trade profitability
    Presenter: To be confirmed

    14.20 - 15.10: "Estimation of Future Initial Margins in a Multi-Curve Interest Rate Framework"

    Initial margin (IM) as a dynamic process
    Interest Model in Multi-curve framework as underlying for IM
    Efficient numerical implementation of future IM computation/simulation
    Calibration to option market and historical data
    Change of measure between Q and P and when to use each measure
    Presenter: Marc Henrard: Head of Quantitative Research, OpenGamma

    15.10 - 15.30: Afternoon Break and Networking Opportunities

    15.30 - 16.20: Panel: “GPU vs. AAD” debate

    Topics:

    GPUs and AAD are not mutually exclusive – you can do both
    XVA Risk can be done using AAD but regulators and others clearly favour full revaluation for risk and stress testing
    The relative strengths and weaknesses of forward vs. reverse AD mode in practical calculations
    Are GPUs necessary or is AAD sufficient?
    How easy is it to implement AAD in practice? In new code and in legacy code?
    How easy are GPUs to use / code for?
    Is AAD compatible with regulatory requirements – e.g. FRTB?
    Can AAD be used on GPUs?
    Where is XVA technology headed – smartphones or supercomputers?
    Panelists: (To be confirmed)

    Nicki S. Rasmussen: Counterparty Credit & Funding Risk, Danske Bank
    Alexander Sokol: CEO and Head of Quant Research, CompatibL
    Luca Capriotti: Head QS Global Credit Products EMEA, Credit Suisse & Visiting Professor, University College London
    Chris Kenyon: Director, Quantitative Research, CVA, Lloyds Banking Group

    End of conference

    At 9:00am to 5:00pm, Friday 18th March

  • XVA & KVA Stream

    XVA & KVA Stream

    08:30: Morning Welcome Coffee

    09.00 - 10.30: Pricing and Hedging of Options on XVA: CVA, FVA, MVA, KVA

    Title & bullet points to be confirmed
    Presenter: Chris Kenyon: Director, Quantitative Research, CVA, Lloyds Banking Group

    10.30 – 10.50: Morning Break and Networking Opportunities

    10.50 - 11.40: XVA/KVA Pricing and Management from a Desk Perspective

    Designing a XVA setup for speed and rich analytics.
    Getting EPE, ENE, and PFE as a by-product from the XVA valuation. Adding expected positive/negative collateral (EPC, ENC), funding gap (EPF, ENF).
    Analyzing XVA run-off.
    Approximating KVA(CCR) and KVA(CVA) for valuation alongside other XVAs in a single Monte-Carlo sweep.
    The impact of MPoR on CVA, CS01, and KVA for gold-standard CSA trades.
    Using AAD and scenarios to get cross-gammas.
    Presenter: Nicki S. Rasmussen: Counterparty Credit & Funding Risk, Danske Bank

    11.40 - 12.30: Title & bullet points to be confirmed

    Presenter: (To be confirmed)

    12.30 - 13.30: Lunch

    13.30 - 14.20: Wrong Way Risk Done Right

    XVA and credit derivative portfolios
    The challenges of wrong way risk
    A dynamical default dependency approach
    Clayton Copulas, Karhunen–Loève expansion, minimum entropy and all that
    An easy-to-compute framework capturing consistently credit spread volatility and credit correlations
    Presenter: Luca Capriotti: Head QS Global Credit Products EMEA, Credit Suisse & Visiting Professor, University College London

    14.20 - 15.10: "Quantitative Practicalities of CVA and Other Adjustments”

    Exposure estimates and approximations
    CVA as an average exposure and relevant trends
    Single- and double random WWR
    Applications to other XVAs
    Presenter: Mark Syrkin: Financial Institution Supervision Group, Federal Reserve Bank of New York

    15.10 - 15.30: Afternoon Break and Networking Opportunities

    15.30 - 16.20: Panel: “GPU vs. AAD” debate

    Topics:

    GPUs and AAD are not mutually exclusive – you can do both
    XVA Risk can be done using AAD but regulators and others clearly favour full revaluation for risk and stress testing
    The relative strengths and weaknesses of forward vs. reverse AD mode in practical calculations
    Are GPUs necessary or is AAD sufficient?
    How easy is it to implement AAD in practice? In new code and in legacy code?
    How easy are GPUs to use / code for?
    Is AAD compatible with regulatory requirements – e.g. FRTB?
    Can AAD be used on GPUs?
    Where is XVA technology headed – smartphones or supercomputers?
    Panelists: (to be confirmed)

    Nicki S. Rasmussen: Counterparty Credit & Funding Risk, Danske Bank
    Alexander Sokol: CEO and Head of Quant Research, CompatibL
    Luca Capriotti: Head QS Global Credit Products EMEA, Credit Suisse & Visiting Professor, University College London
    Chris Kenyon: Director, Quantitative Research, CVA, Lloyds Banking Group

    End of conference

    At 9:00am to 5:00pm, Friday 18th March