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9th Edition Derivative Funding and Valuations: IBOR Transition, Initial Margin and Capital

Advance valuation adjustment methodology whilst considering impact from changing capital and margin rules and the move towards a risk free rate

16-18 September 2019
London, United Kingdom

Why You Should Attend

9th Edition Derivative Funding and Valuations: IBOR Transition, Initial Margin and Capital

The benchmark-rate-reform represents one of the largest challenges banks face today, the uncertainty surrounding the future of the risk free rates and the treatment of legacy trades are becoming increasingly pressing. Aside from this, the increasing regulations on capital and initial margin are creating additional challenges for the XVA desk in terms of actively implementing these regulations and the additional requirements, and the best methods to weather the changes. Gaining clarity on these issues and establishing the strongest methodology to adopt will be crucial in ensuring these changes are met effectively.

This marcus evans event will investigate the impact from these issues and the challenges they pose as well as examining specific strategies to remain competitive throughout the difficulties facing the derivatives market. 

Key Topics

  • Explore derivatives valuations under IBOR transition with focus on legacy contracts and the new discounting curve
  • Incorporate the price of margin for both cleared and bilateral trades and evaluate MVA as a means to do this
  • Price future capital costs into today’s derivatives with particular focus on FRTB-CVA
  • Examine how machine learning and other tools such as cloud computing can optimise the XVA desk
  • Address how competition in derivatives particularly with the corporate swaps market has put pressure on pricing
  • Previous Attendees Include

    ABSA Capital
    Banca IMI
    Banco Sabadell
    Bank of England
    Barclays Capital
    BNP Paribas Ltd
    Daiwa Capital Markets
    Deutsche Bank
    Federal Reserve Bank of New York
    Global Valuation Limited
    JP Morgan
    Jyske Bank
    Lloyds Banking Group
    National Australia Bank
    Nomura International PLC
    Royal Bank Of Canada
    VTB Capital PLC

    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.

    Voice of Our Customers
    • “A unique opportunity to speak with professionals and exchange our views” MPS Capital Services
    • “Instructive, with various points of view about the conference topics” Natixis
    • “I found the conference to be one of the most useful I have attended so it was well worth the effort.” Managing Director, CVA Desk, Santander
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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