Latest Developments in the xVA World by Jon Gregory

A session at The 5th Annual Initial Margin, XVA & KVA Conference:

Wednesday 16th March, 2016

9:00am to 5:00pm (GMT)

Latest Developments in the xVA World by Jon Gregory

1. Background

Counterparty risk and accounting

The role of funding

Regulatory capital

Central clearing and bilateral margin requirements

2. Defining the xVA Terms

Counterparty risk - CVA and DVA

Funding - FVA

Collateral - ColVA

Capital – KVA

Initial margin - MVA

3. Market Practice

Overlaps in xVA terms

Practice on pricing xVA

Accounting statements and xVA

Novations, restructuring and backloading

4. xVA Problems and Pitfalls

Modelling choices


Computational challenges

Wrong-way risk

Workshop Schedule: 09:00 – 17:00

Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30

Complimentary Book: The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 3rd Edition by Jon Gregory

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Time 9:00am5:00pm GMT

Date Wed 16th March 2016

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