Valuation: KVA and FVA - A new approach
Tuesday 22 September 2015 8h30 10h30
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Speakers : Claudio
Albanese, Chairman Global Evaluation - Moez Mrad, Head of
Credit & XVA quantitative research, CA-CIB
In the aftermath of the crisis, banking operations are being rewired around metrics called KVA (Capital Value adjustment) and FVA (Funding Value Adjustment).
Register
Invitation
In the aftermath of the crisis, banking operations are being rewired around metrics called KVA (Capital Value adjustment) and FVA (Funding Value Adjustment).
Register
Invitation
Présentation
Intertwined with the CVA (Credit Valuation Adjustment) and
developed to quantify costs of capital and debt financing, the
KVA/FVA metrics are the object of a lively debate and standard
setting process that is reshaping investment banking. In this talk,
we review how banks can benefit from applying these metrics in
a number of areas, including:
Claudio Albanese is a former academic with a doctoral degree from ETH Zurich and professorships at the University of Toronto and Imperial College. He currently leads Global Valuation, a vendor of XVA software-hardware solutions. He recently authored a number of articles in the XVA space which are attracting debate and media attention.
Moez Mrad will share its experience from a banking concrete perspective. He will provide an overview about modelling challenges that arise when computing MVA and KVA.
•Transferring of the costs
of capital and debt financing to clients
•Remunerating capital at a given
hurdle rate
•Managing sustainable dividend
policies
•Designing non-overlapping
risk capital charges for default risk, CVA/FVA volatility risk,
model risk, etc
•Identifying stress scenarios with
major impact on cost of funding
•Quantifying the capital
consumption for trades and setting trading limits
•Setting up effective
CVA/FVA hedges to reduce cost of capital
•Offer appealing
opportunities to investors by means of structured credit trades
with negative KVA/FVA
Claudio Albanese is a former academic with a doctoral degree from ETH Zurich and professorships at the University of Toronto and Imperial College. He currently leads Global Valuation, a vendor of XVA software-hardware solutions. He recently authored a number of articles in the XVA space which are attracting debate and media attention.
Moez Mrad will share its experience from a banking concrete perspective. He will provide an overview about modelling challenges that arise when computing MVA and KVA.