SA-CCR: Modelling & Calculating KVA
But how should KVA be modelled and calculated? Should banks make a provision for it? We will discuss these questions and more in the second webinar of this series.
Discussion Topics
- Flash recap of SA-CCR and regulatory capital
- Increased focus on quantifying capital costs upfront and the increased usage of KVA
- How KVA is calculated: the shareholders’ vs bondholders’ perspective
- Implementation of KVA in Bloomberg's Multi-Asset Risk System (MARS)
- Discussion of latest state of industry practice
Speakers
David Relkin
Rates Derivatives Workflow Specialist
Bloomberg L.P.
Prior to joining Bloomberg, David was a trader at Bank of America in London and New York. Over his 14 year tenure on the FICC trading floor, he started as a quant developing smile and correlation models. He then went on to manage cross asset derivatives books (long dated fx hybrids, rates/equity hybrids, EM fx derivatives), and was in charge of centralising the entire firm's structured note and derivatives funding risk. David Holds an MSc in applied math from Ecole Polytechnique, and in mathematical finance from Paris VI.
Mats Kjaer
Head of Quant XVA Analytics
Bloomberg L.P.
Mats Kjaer is head of the Quant XVA analytics team at Bloomberg LP in London. Prior to joining Bloomberg in 2015 he was a Director in the Quantitative Analytics Group at Barclays Capital, which he joined as a fresh graduate in 2006. Throughout his career Mats has published numerous research articles about derivatives pricing theory in the presence of counterparty credit risk, collateral, funding costs and regulatory capital, and in 2015 Risk Magazine named him Quant of the Year for his work. Mats has a PhD in Mathematical Finance from Gothenburg University, Sweden.
Ian Bentham
xVA Trader
NatWest Markets
Ian Bentham is an xVA trader with two decades of experience in Financial Services. After graduating from Cambridge with a degree in Mathematics and Philosophy, he undertook roles at Merrill Lynch and JP Morgan before joining RBS / NatWest Markets in 2006 as a trader in the newly-formed xVA team. He was instrumental in establishing xVA as a substantial trading function in the firm, managing Credit, Liquidity and Capital risks across derivative asset classes. He continues to shape the NWM quant analytics and technology platform for portfolio risk calculations, ensuring the firm possesses leading edge tools to adapt swiftly to rapidly-evolving market practices, accounting methodologies, and regulatory standards. Ian engages with the wider industry – ISDA, Regulators and the Accounting community – on a range of issues including KVA, focusing on approaches which increase transparency, stability and sustainability, and with a strong emphasis on serving customers.
FRANCOIS POTIER
Risk Solutions Sales Europe
BLOOMBERG/ LONDON
Francois is in charge of Bloomberg Risk Solutions sales covering European countries. A few of these Solutions have been developed because of regulatory requirements such as SA-CCR and FRTB. Francois has worked on XVA topics with banks, supra-nationals and agencies across Europe and discussed many issues those clients face. Prior to joining Bloomberg, Francois worked at UBS and Societe Generale in London and Paris for 20 years initially in Trading & Sales and then in Corporate Finance. Francois graduated from Ecole Polytechnique, and holds a MSc in computer science from New-York University.