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7th Annual Derivative Pricing and XVA Forum

Maximise your derivative pricing to maintain competitiveness among the rising cost of funding

25-27 September 2017
London, United Kingdom

Why You Should Attend

7th Annual Derivative Pricing and XVA Forum

XVA Management has heavily advanced in recent years, as institutions get to grips with all the requirements that need incorporating into derivative pricing. However, the new bilateral margin requirements and other regulations not only need incorporating themselves, but have increased the cost of collateral, requiring further KVA and MVA adjustments to be incorporated into derivative pricing. Institutions now need to advance their XVA strategies to ensure they understand the latest requirements, and are able to incorporate them into their pricing strategies, to maintain competitiveness while meeting their internal costs.

This marcus evans conference will enable institutions to understand the latest developments within XVA. They will learn how to avoid overcompensation from the overlap between valuation adjustments, and how to best manage and incorporate the latest MVA and KVA calculations into their derivative pricing strategies. They will hear about how CSA agreements are being adapted to best manage and reduce the cost of collateral. Finally, they will address best practices to minimise the effect of the margin requirements and CCP risk on their portfolios.

Key Topics

  • Maximise the holistic management of XVA to increase efficiency and reduce costs
  • Realise KVA as a practical pricing strategy
  • Incorporate MVA as an integral part of XVA calculations
  • Optimise your derivative pricing strategy to maintain competitiveness
  • Modernise your CSA agreements to maximise collateral and reduce collateral price
  • Previous Attendees Include

    Deutsche Bank
    Lloyds Banking Group
    Credit Agricole
    BNP Paribas
    Credit Suisse
    Bank of America
    Morgan Stanley
    Bank of England
    Mitsubishi UFJ
    Deutsche Pfandbriefbank AG
    ...and many more

    Why Choose marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

    Event Sponsors
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    Event Partners

    Practical Insights From

    Simon Ibbotson
    Principal Risk Specialist
    Bank of England

    Niklas Palm
    Head of Pricing and Capital

    Robert Smith
    Managing Director, Head of CVA Desk
    Banco Santander

    Chris Kenyon
    Head of XVA Quantitative Research
    Lloyds Banking Group

    Tanguy Dehapiot
    Head of Valuation Risk
    BNP Paribas

    Gonzalo Garcia Kenny
    Managing Director, Head of Portfolio Optimization Desk

    Daniel Cremades
    Global Head of CVA and FVA trading

    Toby Norfolk-Thompson
    Managing Director, Head of Swap Divestment Trading, Barclays Non- Core

    Click Here For Full Agenda

    Voice of Our Customers
    • ‘I found the conference to be one of the most useful I have attended so it was well worth the effort.’ Santander
    • ‘Extremely well-prepared event. Very interesting, practical and informative talks from the conference speakers. I would recommend this event anytime and I hope to be able to attend the next one!’ Societe Generale
    • ‘Relevant and interesting topics, as well as an excellent opportunity to network and get input from other banks around how to solve modelling and implementation for XVAs’ Swedbank
    • ‘Great organisation, excellent way to connect with other players and hear from specialists in the field’ Global Valuation Ltd
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Yiota Andreou

    marcus evans (Europe) Ltd
    PO Box 24797

    +357 22 849 404
    Fax: +357 22 849 310