Excellent opportunity for industry

practitioners to share best practice on

the key valuation topics.
J P MORGAN

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V-FI

Valuation of
Financial Instruments

Americas 2014

The Industrys Only Valuation Summit Series

Keynote Regulatory Insights
Kris Shirley
Professional Accounting Fellow,
Office of the Chief Accountant
U.S. SECURITIES AND
EXCHANGE COMMISSION

Carlo Di Florio
Chief Risk Officer
& Head of Strategy
FINRA

Ragveer Brar
Head of Valuations & Controls
UK PRUDENTIAL REGULATION
AUTHORITY

Quants & Modelers

Valuation Control

And 40+ Leading Valuation Experts on the Speaker Panel:

V-FI Americas Highlights

120+ Delegates

40+ Valuation speakers

20+ Bank case studies

and panels

Tanveer Bhatti
Global Head of Valuation
Control & Analytics
CITI

Jean-Francois Bessin
Global Head of
Valuation Control
J P MORGAN

Vikas Karlekar
Global Head of Product
Control Valuations & PC XVA
BARCLAYS

Louis-Jack Tanguy
Managing Director
Global Head of Valuations
DEUTSCHE BANK

Brian Sciacca
Head of Valuation Control
for the Americas
RBS

Tony Cirincione
Managing Director, Finance
MORGAN STANLEY

Peter Buckwalter
Head of Valuation Control
for the Americas
J P MORGAN

Sanjay Sharma
Chief Risk Officer
Global Arbitrage & Trading
RBC CAPITAL MARKETS

Cindy Ma
Member, Standards Board
INTERNATIONAL
VALUATION
STANDARDS COUNCIL

David Annis
Head of Trading
Model Validation
WELLS FARGO

Dongsheng Lu
Managing Director & Head
of Quantitative Research
BNY MELLON

Tat Chan
Managing Director, Model
Validation
MORGAN STANLEY

Chris Kenyon
CVA / FVA Quantitative
Research
LLOYDS BANKING
GROUP
Robert Dargavel Smith
Managing Director
Head of CVA
SANTANDER

Jessica James
Head of the Quantitative
Solutions Group
COMMERZBANK

Alberto Elices
Head of Equity
Model Validation
SANTANDER

Terry Benzschawel
Managing Director
Citi Institutional Clients Group
CITI

Peter Carr
Global Head of
Market Modeling
MORGAN STANLEY

Dilip Madan
Professor, Robert H. Smith
School of Business
UNIVERSITY OF
MARYLAND

Stphane Crpey
Professor
Department of
Mathematics
UNIVERSITY OF EVRY

Marco Avellaneda
Professor of Mathematics
& Finance,
Courant Institute
NYU

Topic streams:
- Quantitative Modeling
- Valuation Framework
Global Heads of
Valuation Control panel

Presentations and insights

from 40+ Valuation experts:

Academics

9th & 10th December 2014, New York

TECHNICAL WORKSHOP

Advances in

Counterparty Credit Risk & Funding

Workshop 11th December 2014 New York

Led by Stphane Crpey, UNIVERSITY OF EVRY

Understand CVA/DVA/FVA decomposition

Develop backward stochastic differential equations
Manage wrong way risk effects
Build dynamic copula models

Gold Sponsors:

Silver Sponsors:

J P MORGAN
CITI
MORGAN STANLEY
BARCLAYS
WELLS FARGO
BNY MELLON
BANK OF MONTREAL
LLOYDS BANKING GROUP
RBS
RBC CAPITAL MARKETS
DEUTSCHE BANK
SANTANDER
CREDIT SUISSE
COMMERZBANK
BANCA IMI
NOMURA
U.S. SEC
UK PRA
FINRA
IVSC
NYU
UNIVERSITY OF EVRY
UNIVERSITY OF MARYLAND

Supporting Organisation:

Registration Hotline: +44 (0)20 7017 7702 Email: custserv@infoline.org.uk

For the latest programme or to register visit: infoline.org.uk/VFIAmericas

V-FI

Valuation of
Financial Instruments

The essential forum for the

valuation profession.

Americas 2014

BNP PARIBAS

9th & 10th December 2014

New York

Summit Day 1 9th December 2014

8.30

Registration

11.30

Refreshment and Networking Break

9.00

Chairmans Opening Remarks:

Reflecting on the Discussions and Outcomes
of the Recent V-FI Europe 2014 Summit

11.50

Analyzing Non-Standard Risk, Illiquidity and the

Associated Valuation Control Challenges

Non-standard risk often results from sharp changes in market

environments and usually translate into reduced liquidity and
increased challenges for valuation controls. Changes in the appetite
of the counterparties for similar pay-offs also create situations
of non-standard risk profiles and 1-way markets. This section will
examine examples, discuss the associated challenges to valuation
control and debate potential solutions to approach the re-affirmation
of fair value for related assets:

Tanveer Bhatti
Global Head of Valuation Control & Analytics
CITI
Regulatory Developments for Valuation
9.10

SEC Regulatory Priorities for the Valuation of

Financial Instruments

Defining non-standard risks: Factors affecting the valuations

of financial instruments other than the traditional risk
sensitivities or Greeks (i.e litigation, contingent funding etc.)
Sudden changes in the liquidity profile of the embedded
traditional risk factors
Associated challenges of non-standard risk and illiquidity
events for valuation control
Potential solutions to non standard risks to ensure fair values
are achieved

In this session, the U.S. Securities and Exchange Commission

will highlight their key priorities for the valuation of financial
instruments in a special address from their Valuation Specialist.
Kris Shirley
Professional Accounting Fellow, Office of the Chief Accountant
U.S. SECURITIES AND EXCHANGE COMMISSION

The Development of Prudent Valuation in

Europe and the Implications for US Firms

This session will introduce delegates to the Prudent Valuation

regulation that has been developing in Europe, and the
implications for US legal entities. Examining key areas of
regulatory pressure, the presentation will address the direction
of regulatory focus for the Valuation industry, including its likely
impact and what firms can expect in the future:
Overview of Prudent Valuation:
- Brief introduction to the valuation uncertainty concept
- Regulatory development of Prudent Valuation under the EBA
- Initial findings from Banks
PRA priorities for valuation model risk and control
Valuation under recovery and resolution situations
Ragveer Brar
Head of Valuations & Control
PRUDENTIAL REGULATION AUTHORITY

Louis-Jack Tanguy
Managing Director
Global Head of Valuations
DEUTSCHE BANK
12.20

Analyzing Regulatory Requirements and the

Impact on Valuation Industry
Tanveer Bhatti
Global Head of Valuation Control & Analytics
CITI

Panel Session

10.00

Peter Buckwalter
Head of Valuation Control for the Americas
J P MORGAN
Bruce Manson
Global Head of Pricing Services, Enterprise Solutions
BLOOMBERG

Panel
Panel
Panel
Session
Session
Session

Regulators Panel
10.50 Developing Global Valuation and Financial
Reporting Standards

Vincent Tang
Head of the Americas Product Valuations Group
NOMURA

Regulators priorities for valuation and financial reporting

Evaluating the derivative risk management practices of banks
Harmonization of valuation regulation
Moderator:
Frank Serravalli
Lead Partner, Financial Instruments,
Structured Products and Real Estate Group
PWC
Panellists:
Kris Shirley
Professional Accounting Fellow, Office of the Chief Accountant
U.S. SECURITIES AND EXCHANGE COMMISSION
Carlo Di Florio
Chief Risk Officer & Head of Strategy
FINRA
Ragveer Brar
Head of Valuations & Control
UK PRUDENTIAL REGULATION AUTHORITY

Elizabeth Duggan
Managing Director, Global Evaluations
INTERACTIVE DATA CORPORATION
1.10

Lunch

Sponsor V-FI Americas!

If you are interested in accessing the senior level audience at the leading
Global Valuation Summit Series, available solutions at V-FI include:
Speaking Opportunities Brand exposure
Hosting a drinks reception Booking an exhibition space
For more information please contact Sophie Serhan on:
Tel: +44 (0)20 7551 9931 or email: sophie.s@infoline-uk.com

Cindy Ma
Member, Standards Board
INTERNATIONAL VALUATION STANDARDS COUNCIL
Registration Hotline: +44 (0)20 7017 7702 Email: custserv@infoline.org.uk For the latest programme or to register visit: infoline.org.uk/VFIAmericas

V-FI

Valuation of
Financial Instruments

Americas 2014

An excellent event which brings together key

individuals in the industry to discuss highly
topical issues. Very insightful.

Data Submission, Governance and Pricing

State of the art in credit modeling

Experts systems, machine learning and big data
Case study: Predicting corporate bankruptcy using big
data methods
Unsolved problems and opportunities for big data solutions
Limitations and challenges of big data applications
Terry Benzschawel
Managing Director, Citi Institutional Clients Group
CITI

Panel Session

Effective Market Data for Valuations:

Best Practices

Demonstrating price transparency through the IPV function

Balancing internal and external data requirements
Submit vs. Subscribe: Future of consensus pricing
Understanding trends and analysis behind price variances
Consolidation and effective reconciliation controls

Valuation Strategy and Governance

4.10

Defining an effective product coverage strategy

Training, skill and people models
Position of Valuation teams
Outsourcing valuation functions

Speaker to be Confirmed

Global Heads of Valuation Panel

4.40

Assessing the Strategic Direction of the

Valuation Department in 2015 and Beyond
Global Heads:
Jean-Francois Bessin
Global Head of Valuation Control
J P MORGAN
Jean-Francois joined JP Morgan in 1999 and has worked since in several countries
(UK, France, US and Japan), covering all trading asset classes through different roles
(Market Risk, Valuation Control, COO and CFO). Jean-Francois is currently the firm
wide Head of Valuation Control.

Tony Cirincione
Managing Director Finance
MORGAN STANLEY

Tony Cirincione is a Managing Director in the Finance Department of Morgan Stanley.

He currently heads the Valuation Review Group which is responsible for the integrity
of the valuations of firm inventory presented in Morgan Stanleys financial statements
and related disclosures.

Moderator:
Catherine Downhill
Senior Director, CDS Pricing & Analytics
FITCH SOLUTIONS

Tanveer Bhatti
Global Head of Valuation Control & Analytics
CITI
Tanveer Bhatti heads up the Valuation Control and Analytics group in Citi. Prior to
joining Citi, he was Chief Risk Officer of Emirates Banks private banking, retail
banking and asset management businesses where he was responsible for all aspects
of market, credit, operational and reputation risk management. Before embarking on
this endeavour, Tanveer had a 12 year career at J.P.Morgan.

Matt Foley
Senior Vice President
Valuations and Price Verification
CITI

Vikas Karlekar
Global Head of Product Control Valuations and PC XVA
BARCLAYS
Vikas Karlekar joined Barclays Capital in 2009 as the Global of Head of Commodities
Product Control, based in London, leading a team of 100 professionals across
London, New York, Houston, Singapore and Sweden. Prior to this he had spent 13
years at UBS, and at the point of leaving was the Global Head of Product Control for
Fixed Income Rates Flow and Exotics, FX, Financing, and CVA / DVA / Own Credit.

Charles Utley
Director, Barclays Capital
BARCLAYS

Pricing FX Options: How the Markets are

Getting it Wrong

Louis-Jack Tanguy
Managing Director, Global Head of Valuations
DEUTSCHE BANK

FX options are a huge and global market, with hundreds of billions

of USD of flow every day. However, do they deliver what people
think? This presentation will demonstrate that on average, payouts
diverge severely from fair pricing. Since the market began, some
options have paid back up to 140% of their face value, while
others only 40%. This presentation will analyze what drives this
long term misevaluation and why it is still going on:
Longer vs shorter tenors Why one is more valuable than
the other
In or out of the money? Strike makes a difference
Puts or calls? They are not the same
EM vs G10 options
EM hedging: In many cases, the simplest hedge has also been
the most expensive

Building an Effective Operating Model for the

Valuation Function

Panellists:
Brian Sciacca
Head of Valuation Control for the Americas
RBS

3.20

Refreshment and Networking Break

Big Data Mining for Default Risk and Pricing:

Techniques and Areas of Focus

The application of big data techniques to problems in financial

modeling offers potential opportunities for market participants that
are not currently available using previously existing approaches.
Some of these include estimating bond recovery values in default,
predicting default probabilities for municipalities and private firms,
estimating major economic data releases, and predicting price
changes of major market benchmarks. The discussion will also
address general principles and challenges regarding applications
of big data for financial markets.

2.30

3.50

Panel Session

2.00

DELOITTE

9th & 10th December 2014

New York

Louis-Jacques Tanguy is the Co-Head of the Global Valuations Group based in New
York. LJ has been with Deutsche Bank for over 5 years. He started in the Valuations
Group managing the Rates, GFX and Commodities team before becoming the Global
Finance Director for GF&FX. He was previously the regional head of valuations for
Merrill Lynch in Asia and has had various positions in Asia and Europe for Societe
Generale.

5.40

Chairmans Summation and Close of Day 1

Tanveer Bhatti
Global Head of Valuation Control & Analytics
CITI

Jessica James
Head of the Quantitative Solutions Group
COMMERZBANK
Registration Hotline: +44 (0)20 7017 7702 Email: custserv@infoline.org.uk For the latest programme or to register visit: infoline.org.uk/VFIAmericas

V-FI

Valuation of
Financial Instruments

Americas 2014

Excellent mix of people with different

profiles: Risk / Control / Trading /
Structuring / Quant.

Summit Day Two 10th December 2014

9.00

Chairmans Opening Remarks

and Overview of Day 1

NATIXIS
11.20

Refreshment & Networking Break

11.40

The Evolution of Model Risk and Control

Tanveer Bhatti
Global Head of Valuation Control & Analytics
CITI

9.10

Practical XVA Issues and Implementation Steps

XVA concepts and developments: FVA, LVA, KVA, RVA

XVA issues: Complexities and practicalities
Implementing XVA in practice
Calculating XVAs, some examples:
- Capital Valuation Adjustments (KVA)
- Liquidity Valuation Adjustments (LVA)

The main areas of regulatory focus and key challenges

SR 11-7 and the debate over model definitions
Gaining additional value from a strong model risk and
control framework
Tat Chan
Managing Director, Model Validation
MORGAN STANLEY

Panel Session

XVA Advances and the Implications for Valuation

Alberto Elices
Head of Equity Model Validation
SANTANDER
David Annis
Head of Trading Model Validation
WELLS FARGO
Sanjay Sharma
CRO, Global Arbitrage & Trading
RBC CAPITAL MARKETS

Dongsheng Lu
Managing Director & Head Of Quantitative Research
BNY MELLON

Panel Session

9.50

9th & 10th December 2014

New York

Doug Summa
Partner, Financial Instruments, Structured Products and
Real Estate Group
PWC

Advances in XVA Management

Optimal operating structures for the XVA desk

FVA and accounting
KVA Capital Valuation Adjustment
XVA complexity
The impact of regulation on XVA as a business activity
Andy Nendick
Product Head of Totem
MARKIT

12.30

Design of Fair Value Adjustment Policies to

Mitigate Model Risk

Design of effective and reasonable model risk management is

becoming a major issue for regulators and institutions due to model
limitations thoroughly shown in crisis environments. In particular,
this session will examine the effective the design of fair value
adjustment policies and the ways this can mitigate model risk:
Managing and mitigating model risk: Internal versus
external adjustments.
Using Markit consensus to calibrate fair value adjustment for
autocallable products
Conservative softening: A good practice to cover other sources
of model risk
Implications for trading desks and valuation teams

Robert Dargavel Smith

Managing Director
Head of CVA
SANTANDER
Justin Keane
Director, Financial Instruments, Structured Products
and Real Estate Group
PWC

Alberto Elices
Head of Equity Model Validation
SANTANDER

Marco Avellaneda
Professor of Mathematics & Finance, Courant Institute
NYU
Dongsheng Lu
Managing Director & Head Of Quantitative Research
BNY MELLON

1.10

Lunch and Afternoon Streams

AFTERNOON STREAMED SESSIONS

US Focus on Model Control
10.40

Achieving Granularity and Appropriate Product

Coverage in a Model Control Framework
Speaker To Be Confirmed

After lunch, the conference will go into 2 breakout streams

to focus on either Valuation Control issues or
Quantitative Modeling Issues.
You can choose either stream A or B for each of the 4 sessions.
Delegates will be asked on the day to indicate their Stream of
choice, but are free to move between the two.

Stream A: Quantitative Modeling

Sponsor V-FI Americas!

If you are interested in accessing the senior level audience at the leading
Global Valuation Summit Series, available solutions at V-FI include:
Speaking Opportunities Brand exposure
Hosting a drinks reception Booking an exhibition space
For more information please contact Sophie Serhan on:
Tel: +44 (0)20 7551 9931 or email: sophie.s@infoline-uk.com

Managing the Growth of Risk Warehousing

Wrong Way and Gap Risk Modeling
Panel - Latest Developments in Derivatives Modeling
Applications of Convex Duality to Derivatives Pricing

Stream B: Valuation Frameworks

Creating Valuation Documentation Frameworks

Automation of the Valuation Function
Panel - Training and Skills for Valuation Professionals
Analyzing the Impacts of Volcker

Registration Hotline: +44 (0)20 7017 7702 Email: custserv@infoline.org.uk For the latest programme or to register visit: infoline.org.uk/VFIAmericas

V-FI

Valuation of
Financial Instruments

This event is an excellent forum to share

our concern on valuation issues.

Americas 2014

STANDARD CHARTERED

9th & 10th December 2014

New York

You can choose either stream A or B for each of the 4 sessions. Delegates are free to move between the streams.

Afternoon Stream A: Quantitative Modeling

Afternoon Stream B: Valuation Frameworks

2.10 Stream A Chairmans Opening Remarks

2.10 Stream B Chairmans Opening Remarks

2.15 Managing the Growth of Risk Warehousing from CVA

2.15 Defining and Creating Valuation Documentation

Governance Frameworks

Hedging Choices
The USD CDS market is limited, there are at most around 1600 liquid USD singlename CDS. Other CVA hedging choices are also limited, so it is inevitable that CVA
desks will partially warehouse credit risk. Thus realistic CVA pricing must include
both warehoused and hedged risks. Warehoused risks will produce profits and
losses because of the lack of specific matching hedging flows. Paying for capital
use also requires profits. Profits may be taxable, and losses may provide tax shields.
To quantify effects of risk warehousing and tax consequences this presentation
will offer an extension of the semi-replication approach (Burgard & Kjaer 2013). In
doing so the study introduces partial hedging of value jump on counterparty default,
and a new valuation adjustment - TVA: Tax Valuation Adjustment. The presentation
will demonstrate an expectation approach to hedging open risk and so introduce a
market price of counterparty default value jump risk. Ultimately, it is shown that both
risk warehousing and tax are material in a set of interest rate swap examples:

CVA hedging choices: Possibilities and limits

Pricing strategies for warehoused risks
Accounting and tax views on profits and losses: Taxes and tax shields
Tax Valuation Adjustment (TVA)

Failings of the Valuations community on

documentation governance
Evaluating how Valuation policies are stored: Word, Excel, share
points, databases
Determining the links between reports
The role of product taxonomies
Creating an integrated documentation framework across the firm
Vikas Karlekar
Global Head of Product Control Valuations and PC XVA
BARCLAYS
2.55 Automation of the Valuation Function: Finding Efficiencies in

Governance and Assets while Maintaining Control

Automation is a phrase that is currently given a lot of weight as a solution
for operational developments and resource management. However, what
does automation really mean in practice for the valuation function? This
presentation will address how automation applies to Valuation Control groups,
and what practical steps teams can take to achieve the automation of simple
assets:

Chris Kenyon
CVA / FVA Quantitative Research
LLOYDS BANKING GROUP
2.55 Wrong Way and Gap Risk Modeling: A Marked Default

What is automation?
Benefits of automation
Automation in valuation: Focusing on simple assets
Using IFRS levelling criteria for automation
Key questions to address prior to implementing automation

Time Approach

Stphane Crpey
Professor, Department of Mathematics
UNIVERSITY OF EVRY
3.35 Refreshment Break
3.55 Latest Developments in Derivatives Modeling and

Panel Session

Quantitative Research
Dilip Madan
Professor of Mathematical Finance
Robert H. Smith School of Business
UNIVERSITY OF MARYLAND
Chris Kenyon
CVA / FVA Quantitative Research
LLOYDS BANKING GROUP
Stphane Crpey
Professor, Department of Mathematics
UNIVERSITY OF EVRY

Simon Hodgkinson
Regional Head of the Global Valuation Group
DEUTSCHE BANK
3.35 Refreshment Break
3.55 Training and Skills for Valuation Professionals

Panel Session

This presentation uses marked stopping times to model the defaults of two
counterparties. The role of the mark is to convey some information about the
defaults, in order to account for various possible wrong-way risk and gap risk
scenarios, and the corresponding impacts on CVA, DVA and FVA equations. Specific
tools are required to analyze the cure period (time interval between the default and
the liquidation) and the ensuing gap risk of diverging evolutions of the portfolio and
of its collateral. In particular, the liquidation time is predictable (as announced by
the default time), which modifies the nature of the pricing problems. The case of
counterparty risk on credit derivatives, a major wrong-way and gap risk concern,
poses specific dependence modeling and dimensionality challenges. To address
these, the study resorts to dynamic copula models of portfolio credit risk and applies
the mentioned approach in these setups.

Tanveer Bhatti
Global Head of Valuation Control & Analytic
CITI
Ragveer Brar
Head of Valuations & Control
PRUDENTIAL REGULATION AUTHORITY
Vikas Karlekar
Global Head of Product Control Valuations and PC XVA
BARCLAYS

4.35 Analyzing the Impacts of Volcker on the Valuation and IPV

Functions
Speaker to be Confirmed
5.15 Stream Chairmans Summation and Close of Conference

4.35 Applications of Convex Duality to Derivatives Pricing

This presentation will give an overview of some of the latest techniques and
developments in the field of derivatives modeling for valuations, focusing on use of
convex duality to gain insight into valuation formulas and option pricing:

Using convex duality to gain insight into valuation formulas of contingent

claims with convex payoffs
Understanding greeks
Developing a new forward PDE with significant computational advantages
Building a new approach to option pricing through convex duality: Specifying a
stochastic process for delta rather than the underlyings price
Peter Carr
Global Head of Market Modeling
MORGAN STANLEY

Very topical, thought provoking,

high quality presentations.
UK PRA

Enlightening on a theoretical and

practical level.
RBS

5.15 Stream Chairmans Summation and Close of Conference

Registration Hotline: +44 (0)20 7017 7702 Email: custserv@infoline.org.uk For the latest programme or to register visit: infoline.org.uk/VFIAmericas

V-FI

Valuation of
Financial Instruments

Provided a range of challenging views on a

broad number of relevant Valuation topics

Americas 2014

LLOYDS BANKING GROUP

9th & 10th December 2014

New York

Post-Summit Workshop Session: 11th December 2014

Advances in Counterparty Risk and Funding

BACKGROUND

Attend this workshop to:

WHO SHOULD ATTEND

All the XVA adjustments (CVA, DVA, FVA etc.) are

today one of the main P&L centers of investment
banks. XVA adjustments touch on many differing
areas including: modeling, pricing, accounting, risk
management, regulation, computation, economics
etc. Moreover, they are interdependent and in need of
computing together. The XVA adjustments therefore
can be seen too often to interact in conflicting
perspectives. It is for this reason the V-FI programme
was created, so that different areas of the bank could
talk through the complex issues behind the XVA and
their implications for the front and back office.

Understand CVA/DVA/FVA decomposition and the

involved double counting issues

Prior knowledge requirement: Stochastic analysis and

mathematical finance at a good MSc level.

Define the meaning of windfall benefit at own

default (or not)

OBJECTIVES
The aim of this course is to introduce different
aspects of the controversial issues within
counterparty risk and funding: CVA, DVA, FVA, WrongWay Risk, and Ratings Valuation Adjustment (RVA) to
help manage these conflicts effectively.

Study the different levels of nonlinearity involved in

CVA versus FVA computations
Implement different levels of nonlinear regressions
that can be used for pricing exposure or XVA terms
Develop backward stochastic differential equations
for pricing and XVA computation
Understand the connection with the multicurve
post-crisis market feature
Manage wrong way risk effects regarding
counterparty risk embedded in credit derivatives
Build a solution to the bottom-up versus top-down
credit portfolio modeling puzzle by means of
dynamic copula models

Quantitative Risk
Treasury
Operations
Product Control
Accounting

Finance
Reporting
Risk Valuations
Internal Audit

WORKSHOP STYLE
The course will consist of a series of practical applications
and recommendations designed to be as interactive as
possible. Case studies and exercises, often taken from
real-life scenarios, will be extensively used.

WORKSHOP TIMINGS
9.00am
9.30am
5.00pm

Registration
Workshop Commences
Workshop Closes

WORKSHOP AGENDA
PART 1: Morning
CVA Introduction
Elementary CVA example: Bond and CDS
CVA as a a giant hybrid option

Model-free mathematics of counterparty risk under funding

constraints
Pure counterparty risk:
- CVA/DVA analysis ignoring the funding issue
Pure funding:
- Liquidity funding analysis ignoring counterparty risk
Putting things together:
- Counterparty risk and funding and their interaction

Reduced-Form Modeling
Reduced-Form BSDE approach:
- Develop backward stochastic differential equations for pricing and XVA
computation
CVA, DVA, LVA and RC: The four wings of the TVA (Total Valuation Adjustment)
- Understanding CVA/DVA/FVA decomposition and the involved double
counting issues:
- Define the meaning of windfall benefit at own default (or not)
- Study the different levels of nonlinearity involved in CVA versus FVA
computations
- Implement different levels of nonlinear regressions that can be used for
pricing exposure or XVA terms

Part 2: Afternoon
Pop Quiz:
15 Fun questions to get delegates up and running after lunch

Beyond immersion? Manage wrong way risk effects regarding

counterparty risk embedded in credit derivatives

Dynamized Gaussian copula model:

- Build a dynamic version of the Gaussian copula model
- Application to CVA and DVA computations on CDSs
Dynamized Marshall-Olkin copula model:
- Build a solution to the bottom-up versus top-down credit portfolio modeling
puzzle by means of a dynamic joint default copula model
- Application to CVA and DVA computations on CDOs
Wrong way and gap risks: A marked default time perspective:
- A unified perspective on the different kinds of modeling employed in this
course
- How a reduced-form approach can be developed in the above dynamic
copula models opens the door to nonlinear FVA computations for credit
portfolio models

Multiple curves
The whys of the LOIS:
- An economic analysis of the post-crisis multi-curve reality of financial
markets
Multi-curve models and XVA analysis:
- Understand the connection of counterparty risk and funding with the
multicurve postcrisis market feature
- Illustrate their interaction in different: Levy driven HJM versus rational
(Flesaker and Hughston) models

WORKSHOP LEADERS
Stphane Crpey
Professor, Department of Mathematics
UNIVERSITY OF EVRY
Stphane Crpey is a professor at the Mathematics Department of University of Evry (France), Head of Probability
and Mathematical Finance and Head of M2IF (University of Evry MSc quantitative finance program). His research
interests are financial modeling, counterparty and credit risk, numerical finance, as well as related mathematical
topics in the fields of backward stochastic differential equations and partial differential equations. He is the
author of numerous research papers and two books:
Financial Modeling: A Backward Stochastic Differential Equations Perspective (Springer textbooks in finance,
2013)
Counterparty Risk and Funding, a Tale of Two Puzzles (S. Crpey, T. Bielecki and D. Brigo, Chapman & Hall/CRC
Financial Mathematics Series, June 2014)

Sponsor V-FI Americas!

If you are interested in accessing the senior level
audience at the leading Global Valuation Summit
Series, available solutions at V-FI include:
Speaking Opportunities Brand exposure
Hosting a drinks reception
Booking an exhibition space
For more information please contact
Sophie Serhan on:
Tel: +44 (0)20 7551 9931 or email:
sophie.s@infoline-uk.com

Registration Hotline: +44 (0)20 7017 7702 Email: custserv@infoline.org.uk For the latest programme or to register visit: infoline.org.uk/VFIAmericas

V-FI

Valuation of
Financial Instruments

Americas 2014

Well organised conference created to

motivate good discussions about current
and future topics.
SANTANDER

9th & 10th December 2014

New York

About our Sponsors

Gold Sponsors
About PwC
PwCs Financial Instruments, Structured Products and Real Estate Group (FSR), is a global team of over 400 financial
products specialists operating in over a dozen cities across the U.S. and several key locations throughout the world. FSR
is comprised of subject matter experts on virtually all asset classes (including Residential and Commercial Mortgages,
Auto Loans and Leases, Credit Cards, Student Loans, Derivatives, Commercial Loans and Bonds, Debt and Equity
Securities, etc.).
The team specializes in providing services along the full life cycle of a product, around model governance and validation,
accounting advisory, end-to-end transaction support and valuation, business processes and controls, tax and treasury, and capital funding strategies, all as
they relate to financial instruments, structured products, and real estate.

About Fitch Solutions

Fitch Solutions delivers credit market data, analytical tools and risk services to the global financial community. In addition
to offering proprietary market-based content, Fitch Solutions distributes the ratings, research and financial data of Fitch
Ratings through a variety of flexible platforms. With innovation and experience behind every solution, Fitch Solutions helps financial professionals meet the
diverse and evolving needs of todays global markets.
Fitch Group is a global leader in financial information services with operations in more than 30 countries. In addition to Fitch Solutions, the group includes
Fitch Ratings, a world-renowned credit rating agency, and Fitch Learning, a preeminent professional development firm. Fitch Group is jointly owned by Parisbased Fimalac, S.A. and New York-based Hearst Corporation.
For additional information, please visit www.fitchsolutions.com.

Silver Sponsors
About Interactive Data Corporation
Interactive Datas Pricing and Reference Data business provides global securities pricing, evaluations, and reference data
designed to support institutional pricing activities, securities operations, research, and portfolio management. Interactive Data
collects, edits, maintains, and delivers data on more than 10 million securities, including daily evaluations for approximately
2.7 million fixed income and international equity issues. Interactive Data specializes in hard-to-get information and evaluates
many hard-to value instruments.
Pricing, evaluations and reference data are provided in the US through Interactive Data Pricing and Reference Data LLC and internationally through
Interactive Data (Europe) Ltd. and Interactive Data (Australia) Pty Ltd.
www.interactivedata.com

About Bloomberg

Bloomberg connects influential decision makers to a dynamic network of information, people and ideas. Our strengthquickly and
accurately delivering data, news and analytics through innovative technologyis at the core of everything we do. With over 15,000
employees in 192 locations, we deliver business and financial information, news and insight around the world. BVALBloombergs
evaluated pricing serviceoffers credible and defensible valuations for a wide range of fixed income securities. By providing the most meaningful transparency for
both liquid and harder-to-price asset classes, BVAL delivers a critical solution in todays increasingly regulated mutual fund environment.
About Markit

Markit is a leading global diversified provider of financial information services. We provide products that enhance transparency, reduce risk
and improve operational efficiency. Our customers include banks, hedge funds, asset managers, central banks, regulators, auditors, fund
administrators and insurance companies. Founded in 2003, we employ over 3,000 people in 10 countries. Markit shares are listed on
Nasdaq under the symbol MRKT.

Sponsorship & Exhibition Opportunities

If you are seeking to profile your products, expertise and experience in the field of Financial Instrument Valuation, V-FI Americas 2014 will provide
you with a unique forum in the US to achieve your business objectives through opportunities such as:
Thought leadership: Present your expertise to industry leaders by moderating a panel session or delivering a presentation.
Product demonstrations: An exhibition stand in the conference networking area enables you to demonstrate your products, network with
attendees, hold informal meetings and take advantage of the heightened exposure exhibiting offers.
Networking: Hosting the evening drinks reception, a fantastic networking opportunity in an environment that you control.
Brand exposure: Branding via the pre-conference brochure, website, banners, conference documentation a comprehensive brand awareness
raising opportunity which targets people beyond attending the conference itself.
For more information on how Infoline Conferences can help you meet your marketing objectives, please call Sophie Serhan on:
+44 (0)20 7551 9931 or email sophie.s@infoline-uk.com

Registration Hotline: +44 (0)20 7017 7702 Email: custserv@infoline.org.uk For the latest programme or to register visit: infoline.org.uk/VFIAmericas

Summit:

Valuation of Financial Instruments Americas

Post-Summit Workshop: Advances in Counterparty Credit Risk & Funding

9th and 10th December 2014, New York FKM62888

11th December 2014, New York

VIP CODE

FKM62888w
Please quote the above VIP code when registering

FIVE EASY WAYS TO REGISTER

Telephone:
+44 (0) 20 7017 7702

Email: custserv@infoline.org.uk

Please remember to quote FKM62888

Web: infoline.org.uk/VFIAmericas

Fax:
Complete and send this registration form to:

+44 (0) 20 7017 7881

Event location:
This event will be held at a conveniently located
and quality venue in the center of New York.
Delegates will be informed of the venue will be
informed of the venue by email not less than three
weeks before the event.
Delegates are responsible for the arrangement and payment of their own travel and accommodation.
Infoline has arranged a special room rate at a number of hotels. If you wish to book a room, please call
Venue Search on +44 (0) 20 8546 6166 stating that you are an Infoline delegate.

HOW MUCH?

Register by
19th September 2014
& SAVE up to $1000

Register by 7th
November 2014
& SAVE up to $700

Register after 7th

November 2014
& SAVE up to $500

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1st Delegate

SAVE

2nd & Subsequent Delegates

SAVE

3 DAY PACKAGE: 2 day Conference + 1 day Workshop

$3098

$800

$2898

$1000

2 DAY PACKAGE: 2 day Conference

$1999

$400

$1799

$600

1 DAY PACKAGE: 1 day Workshop only

$1399

$100

$1199

$300

3 DAY PACKAGE: 2 day Conference + 1 day Workshop

$3348

$500

$3148

$700

2 DAY PACKAGE: 2 day Conference

$2199

$200

$1999

$400

1 DAY PACKAGE: 1 day Workshop only

$1449

$50

$1249

$250

3 DAY PACKAGE: 2 day Conference + 1 day Workshop

$3598

$300

$3398

$500

2 DAY PACKAGE: 2 day Conference

$2399

$2199

$200

1 DAY PACKAGE: 1 day Workshop only

$1499

$1299

$200

Payment should be made within 14 days of registration. All registrations must be paid in advance of the event.
The VAT rate is subject to change and may differ from the advertised rate. The amount you are charged will be determined when your invoice is raised. Savings include Multiple Booking & Early Booking Discounts. All discounts can only be applied at the time of registration and
discounts cannot be combined (apart from early booking discounts which are available to everyone). All discounts are subject to approval. Please note the conference fee does not include travel or hotel accommodation costs. We are happy to accept a replacement delegate for
the whole event, however delegate passes cannot be split or shared between delegates under any circumstances.

PAYMENT DETAILS

Cheque. Made payable to IIR UK Ltd. We will provide you details as to where to send the cheque once
we receive your booking. Please write FKM62888 on the back of the cheque.

q To make payment by credit card: to ensure we provide the highest level of security for your credit card details we
are unable to accept such payments via email or fax which ensures that these details are never stored on our network.
To make payment by credit card on-line, please enter your credit card details in our secure payments website that you
will use when making your booking via the event website (the event web address is near the top of the booking form).
Alternatively call our customer service team on +44 (0)20 7017 7702.

By bank transfer: Full details of bank transfer options will be given with your invoice on registration.
In all cases payment prior to the conference is required. Registration fees include all sessions, refreshments and
course documentation. Please note: where an option exists for delegates to attend a morning or afternoon session
or both sessions, lunch will be provided for those opting to attend both. May we remind overseas delegates that VAT
must be paid.
Confirmation: You will receive confirmation and joining instructions from us within two weeks of registering. If this is
not the case, please telephone us to ensure we have received your booking.
Please note that credit cards will be debited within 7 days of your registration on to the conference.

PERSONAL DETAILS
1st Delegate

3rd Delegate Mr/Mrs/Ms

Mr/Mrs/Ms

Job title

Department

Job title

Department

Telephone

Fax

Telephone

Fax

Email

Email

Yes! I would like to receive information about upcoming events by email. By giving you my email address
I am giving Informa companies the permission to contact me by email

Yes! I would like to receive information about upcoming events by email. By giving you my email address
I am giving Informa companies the permission to contact me by email

2nd Delegate

Name of your Line Manager

Mr/Mrs/Ms

Job title

Department

Telephone

Fax

Email
Yes! I would like to receive information about upcoming events by email. By giving you my email address I am giving
Informa companies the permission to contact me by email

TERMS AND CONDITIONS

Attendance at this conference is subject to the Infoline Delegate Terms and Conditions at http://www.infoline.org.uk/page/
termsandconditions. Your attention is drawn in particular to clauses 6, 8 and 14 of the Infoline Delegate Terms and Conditions which
have been set out below:
Cancellation Policy: You may cancel your registration in accordance with this Condition 6. You will receive a refund of your fees
paid to Infoline (if any): (i) if you cancel your registration 28 days or more before the Conference, subject to an administration charge
equivalent to 10% of the total amount of your fees plus VAT; or (ii) if you cancel your registration less than 28 days, but more than 14
days before the Conference, subject to an administration charge equivalent to 50% of the total amount of your fees plus VAT. Infoline
regrets that the full amount of your fee remains payable in the event that your cancellation is 14 days or less before the Conference
or if you fail to attend the Conference. All cancellations must be sent by email to custserv@infoline.org.uk marked for the attention of
Customer Services and must be received by Infoline. You acknowledge that the refund of your fees in accordance with Condition 6 is
your sole remedy in respect of any cancellation of your registration by you and all other liability is expressly excluded.
Changes to the conference: Infoline may (at its sole discretion) change the format, speakers, participants, content, venue location
and programme or any other aspect of the Conference at any time and for any reason, whether or not due to a Force Majeure Event, in
each case without liability.
Data protection: The personal information which you provide to us will be held by us on a database. You agree that Infoline may share
this information with other companies in the Informa group. Occasionally your details may be made
available to selected third parties who wish to communicate with you offers related to your business activities. If you do not wish to receive
these offers please contact the database manager. For more information about how Infoline use the information you provide please see our
privacy policy at: http://www.infoline.org.uk/page/privacypolicy. If you do not wish your details to be available to companies in the Informa
Group, or selected third parties, please contact the Database Manager, Informa UK Ltd, Maple House, 149 Tottenham Court Road, London,
W1T 7AD, UK. Tel: +44 (0)20 7017 7077, fax: +44 (0)20 7017 7828 or email integrity@iirltd.co.uk.
Incorrect Mailing: If you are receiving multiple mailings or you would like us to change any details, or remove your name from our
database, please contact the Database Manager at the above address quoting the reference number printed on the mailing label.
By completing and submitting this registration form, you confirm that you have read and understood the Infoline
Delegate Terms and Conditions and you agree to be bound by them.

Mr/Mrs/Ms

Job title

Department

Telephone

Email

Booking Contact

Mr/Mrs/Ms

Job title

Department

Telephone

Email

COMPANY DETAILS
Company Name
Postal Address
Telephone

Fax

Nature of Business
Billing Address (if different from above address)

Billing E-mail Address:

Unable to attend? If your schedule does not permit your attendance at this event, copies of the event documentation are
available for purchase at just $499. Your documentation will be forwarded one week after the event.
Valuation of Financial Instruments Americas $499

Documentation orders can only be processed on receipt of credit card details. To ensure we provide the highest level of security for your credit card
details we are unable to accept such payments via email or fax, which ensures that these details are never stored on our network. To make payment by credit
card: To make your payment on-line, please enter your credit card details in our secure payments website that you will use when making your documentation
purchase via the event website (the event web address is near the top of the booking form). Alternatively call our customer service team on +44 (0) 20 7017
7702 or email your phone number with your documentation order to custserv@infoline.org.uk and we will call you.