SCIís 1st Annual CVA & Counterparty Risk Seminar
London September 2012
Regulation, Trading & Liquidity Challenges
This event aims to address the most significant concerns facing market practitioners. Highlights include a keynote speech on setting up a CVA desk, and panel discussions and presentations will look at funding and liquidity issues; technology; regulatory discussions; and new challenges such as FVA & DVA.
Free for buy and sell-side firms; for a free delegate registration code email SCI
Vendors, consultants etc; delegate fee = £450 +vat
Click here to register
Agenda (full speaker details will be announced shortly)
12.30 Keynote speaker
Robert McWilliam, Global Head of CVA and Collateral, ING Bank
13.00 Regulations & Liquidity
Basel III significantly changes the way in which financial institutions address counterparty credit risk and CVA; what is the likely impact on liquidity and the CVA cost of hedging of Basle III? The implications for dealers and their corporate clients that prefer not to post costly collateral are significant; will corporate derivative trading and hence hedging be compromised? Collateral requirements are also under the spotlight; will the move towards central clearing help or hinder the management of CVA and liquidity?
14.15 The Role of the CVA desk, hedging and accounting
What is the role of the CVA desk? Is it a profit-making prop desk or a utility function? How big a challenge will the arbitrage between CVA hedging for internal risk management versus the treatment of CVA hedges for regulatory capital be? How are hedging strategies evolving for CVA and how effective are CCDS or index-linked CCDS? Are proxies a good hedge for illiquid name risks? What alternatives should be considered?
15.15 Emerging challenges: FVA & DVA
Market volatility implies that proper FVA can be used to help improve desk liquidity. How do trading desks currently manage FVA, if at all? Can efficient FVA be used to help win new business? How will the inter-relationship between CVA, DVA and CVA desks play out? How will smaller institutions account for DVA? Is the DVA accounting principle flawed and does it skew incentives?
16.30 Workshop: Hosted by Fitch Solutions
17.15 Risk Capture & Technology
How is available technology capturing and pricing risk and CVA? Developing an IT and data management infrastructure and finding the right system is a complex process; what are Tier one banks doing and looking for from vendors? How can other banks learn from their experience? Are the latest advances in CVA technology helping price CVA better? What are the technology options for smaller institutions?
18.15 Cocktails, sponsored by Fitch Solutions