THIS YEAR’S CONFIRMED & INVITED SPEAKERS:

Jon Gregory: Partner, Solum Financial Partners

Andrew Green: Head of Quantitative Research, CVA/FVA, Lloyds Banking Group

Moises Gerstein: Head of CVA Trading Desk- Emerging Markets, ING Bank

Youssef Elouerkhaoui: Global Head of Credit Derivatives, Quantitative Research, Citigroup

Tanguy Dehapiot: Head of Valuation Risk, BNP Paribas

Gordon Lee: CVA, Funding and Capital Quantitative Analyst: UBS Investment Bank

Marco Bianchetti: Head Of Financial Modelling & Validation, Intesa Sanpaolo

Christian Kamtchueng: CTK Head Advisor, ESSEC Lecturer MSTF

Dherminder Kainth: Head Of QuaRC, RBS

Chris Kenyon: Director, Quantitative Research, CVA, Lloyds Banking Group

Mats Kjaer: Senior Quantitative Analyst, Derivatives Research, Bloomberg

Rohan Douglas: CEO, Quantifi

EARLY BIRD DISCOUNTS: 20% BEFORE 30TH JANUARY10% BEFORE 27TH FEBRUARY

RECEIVE A £150 DISCOUNTWHEN YOU REGISTER TO THE MAIN CONFERENCE + WORKSHOP

This conference offers an intuitive insight into the latest practical aspects

of The CVA desk: Reviewing the impact of regulatory changes & capital

charges, XVA management, pricing adjustments & desk organization

THE 4TH CVA CONFERENCE: PRUDENT VALUATION, TVA, ACCOUNTING FOR FVA, CCP, RWA, CAPITAL / KVA & XVA

MILLENNIUM HOTEL LONDON KNIGHTSBRIDGE25TH / 26TH / 27TH MARCH 2015

This conference offers an intuitive insight into the latest practical aspects of The CVA desk: Reviewing the impact of regulatory changes & capital charges, xVA management, pricing adjustments & desk organization and the latest pricing, trading & modelling techniques as well as a more holistic view of the whole process.

www.wbstraining.com

GOLD SPONSORS SILVER SPONSORMAIN SPONSOR

This Conference will focus on the practical aspects and challenges of a move towards xVA

THIS YEAR’S TOPICS INCLUDE:

• Prudent Valuation• Ring Fencing• FVA & MVA• Accounting for FVA • Taxation issues (TVA)• Latest Regulations• Capital / KVA (Leverage Ratio & Prudential

Valuation)• Portfolio / Balance Sheet Capital Models• xVA• Initial Margins, CCP & Clearing• RWA computation

The 4th CVA conference will explore the ever changing complex infrastructure of the daily CVA business within a financial institution. So attend the only two streamed conference of its kind that is dedicated to your function. Other conferences may have CVA as part of the programme (or a single stream), however not an entire two streamed event. Delegates will get access to all main conference presentation files, available to download via our password protected website before the event.

IMPORTANT NOTES:

Main Conference presentation files on USB memory sticks will be provided on arrival. The Main Conference files will also be made available for download via a password protected website before the event. Please print out each presentation if you wish to have hard copies before the conference and bring them with you.

Also, Wi-Fi access will be available at the hotel venue to view presentations on laptops and mobile devices.

LOCATION:

Millennium Hotel London Knightsbridge17 Sloane StreetKnightsbridgeLondonSW1X 9NU

Tel: +44 (0) 20 7235 4377

Hotel Website: http://www.millenniumhotels.co.uk/millenniumknightsbridge/

PRE-CONFERENCE WORKSHOP DAY(WEDNESDAY 25TH MARCH):

Prudent Valuation: Regulation, Calculation & Organisationby Marco Bianchetti: Head of Financial Modelling & Validation, Intesa Sanpaolo &Umberto Cherubini: Associate Professor of Financial Mathematics, University of Bologna

Practical and Efficient xVA Implementations in C++ by Jörg Lotze: Technical Lead & Co-Founder, Xcelerit

MAIN CONFERENCE STREAMS(THURSDAY 26TH MARCH):

• STREAM A: Funding (FVA), Accounting & Taxation (TVA)

• STREAM B: Prudent Valuation, Initial Margins, KVA & Related Numerical Methods

MAIN CONFERENCE STREAMS(FRIDAY 27TH MARCH):

• STREAM A: xVA, Funding & Capital Value Adjustment (KVA)

• STREAM B: Regulations, Initial Margins, CCP & Clearing

As always, delegates are not restricted to attend single streams on the main conference. You have the opportunity to hop around the different streams and attend the presentations that benefit you the most.

Both stream presentation times will run concurrently with each other.

CONFERENCE BOOKINGS: DISCOUNT STRUCTURE:

• Early Bird Discount: 20% Before 30th January• Early Bird Discount: 10% Before 27th February• Main Conference + Workshop (£150 Discount)• Receive an extra 5% discount when booking 3 or

more delegates• 70% Academic Discount (FULL-TIME Students Only)

OVERVIEW

CONFERENCE SPONSORS

GOLD SPONSOR:

Global Market Solutions provides CCR Solution and consultancy services, including the most advanced topics related to IM-VM and SA-CCR management.Through technical and functional expertise on various areas, we are offering a global consulting approach to customers.

Our business model focuses on providing Solutions combining Business Expertise (Counterparty Credit Risk through CVA valuation, pricing integration & validation), Project Management and Software components.Through continuous improvement cycles, we offer the most suitable services, covering transverse change management, Business and IT process redesign, and bespoke software components so the whole process chain is covered.

We conduct project based on proven Project Management standards and best practices, with High quality targets. We provide the flexibility required in the Investment Banking environment, combined with high capability to deliver complex IT Projects in a heterogeneous environment.

For more information visit: iris.globms.com

GOLD SPONSOR:

Global Valuation Ltd. (GVL) is a software firm based in London. GVL’s two products are Esther, a software-hardware solution for the simulation of large OTC portfolios and mega-models for CVA-FVA-DVA, and Athena, a data service for calibrated models in collaboration with ICAP. GVL also partners with TriOptima in the delivery of triCalculate, a hosted risk analytics service for OTC portfolios.

www.global-valuation.com

GOLD SPONSOR:

CompatibL is a software integrator and consultancy specializing in CVA/FVA/PFE, limits, and Basel compliance. CompatibL’s unique blend of expertise in quantitative and engineering aspects of the project makes us an ideal partner for complex implementations involving advanced Monte Carlo analytics and complex trade, market, and reference data. Our customers are some of the most respected firms in the financial industry including 4 dealers, 3 supranationals, over 20 central banks, and 3 major financial technology vendors.

For more information visit: compatibl.com

MAIN SPONSOR:

Numerix is the leading provider of analytics software and services for structuring, pre-trade pricing and analysis, trade capture, valuation, and risk management, with support for commodities, credit, equities, fixed income, foreign exchange, inflation, and hybrid instruments. Founded in 1996, Numerix has over 700 clients and 50 partners across more than 25 countries.

www.numerix.com

CONFERENCE SPONSORS

GOLD SPONSOR:

Since its creation in 1986, Murex has played a key role in proposing effective technology as a catalyst for growth and innovation in capital markets, through the design and implementation of integrated trading, risk management, processing and post-trade platforms.

Driven by innovation, Murex’s MX.3 Front-to-Back-to-Risk platform leverages the firm’s collective experience and expertise, accumulated through its strategic client partnerships, to offer an unrivalled asset class coverage and best-of-breed business solutions at every step of the financial trade lifecycle.

Clients worldwide benefit from the MX.3 platform’s modular set of business solutions, specifically designed to solve the multi-faceted challenges of a transforming financial industry, while relying on the strength of 2,000 dedicated specialists.

www.murex.com

GOLD SPONSOR:

Xcelerit is a leading software provider of cross-platform acceleration tools for financial services, engineering, and research. Xcelerit technology allows Quantitative Analysts to unlock the performance of accelerators (GPUs and multi-core) with minor modifications to their existing source code. Our partnerships with leading hardware vendors and systems integrators have enabled us to deliver a full solution from initial consultancy, training, hardware integration and software acceleration. Our satisfied customers include the leading firms in investment banking, asset management, and insurance.

For more information visit: www.xcelerit.com

GOLD SPONSOR:

Quantifi is a leading provider of analytics and risk management software for the global OTC markets. Winner of Risk Magazine’s 2012 Risk Management Product of the Year, we are trusted by the world’s most sophisticated financial institutions, including five of the six largest global banks, to help them better value, trade and risk manage their exposures.

Quantifi Counterparty Risk is a next generation counterparty risk system designed from the ground up to uniquely satisfy the rapidly evolving needs of regulatory compliance, corporate reporting and CVA trading and hedging. Incorporating the market’s most advanced, high performance Monte Carlo engine combined with super-scalable grid computing, Quantifi Counterparty Risk can support even the largest, most complex portfolios including those with significant wrong-way risk.

Learn how Quantifi, with first to market support for the latest innovations like Funding Valuation Adjustments (FVA), can help you today.

www.quantifisolutions.com

CONFERENCE SPONSORS

SILVER SPONSOR:

Over the years, financial professionals around the world have looked to Wiley and the Wiley Finance series with its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley continues to respond.

With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

For more information visit: www.wileyglobalfinance.com

PRE-CONFERENCE WORKSHOP DAY – WEDNESDAY 25TH MARCH

PRUDENT VALUATION: REGULATION, CALCULATION & ORGANISATION BY MARCO BIANCHETTI: HEAD OF FINANCIAL MODELLING & VALIDATION, INTESA SANPAOLO & UMBERTO CHERUBINI: ASSOCIATE PROFESSOR OF FINANCIAL MATHEMATICS, UNIVERSITY OF BOLOGNA

DAY SCHEDULE: 09:00 – 17:30 BREAK: 10:30 – 10:45 / LUNCH: 12:30 – 13:30 / BREAK: 15:15 – 15:30

ABSTRACT

Traditionally, quantitative finance practitioners are divided into two populations: those who seek fair values, i.e. means of price distributions, and those who seek risk measures, i.e. quantiles of price distributions. Fair value people and risk people typically live in separate lands, and worship different gods: the profit and loss balance sheet, and regulatory capital, respectively.

Prudent Valuation is a rather unexplored midland which has recently emerged somewhere in between the well known mainlands of Pricing and Risk Management. In fact, the Capital Requirements Regulation (CRR), requires financial institutions to apply prudent valuation to all fair value positions. The difference between the prudent value and the fair value, called Additional Valuation Adjustment (AVA), is directly deducted from the Core Equity Tier 1 (CET1) capital. On March 31st 2014, the European Banking Authority (EBA) published a draft Regulatory Technical Standards (RTS) for prudent valuation, to be approved by the EU Commission.

The 90% confidence level required by regulators for prudent valuation links quantiles of price distributions (exit prices) to capital, thus bridging the gap between the Pricing and Risk Management mainlands, and forcing the crossbreeding of the fair value and risk populations above.

In this seminar, we will explore the Prudent Valuation land.

Conclusions

Selected References

SUMMARY

Regulation

• Overview• Timeline prudent valuation• Capital Requirement Regulation

575/2013• EBA Regulatory Technical

Standards• Prudent valuation scope• AVA: possible approaches• Examples

AVA Calculation

• Definitions and basic assumptions• Market price uncertainty AVA• Close-out costs AVA• Model risk AVA• Unearned credit spreads AVA• Investing and funding costs AVA• Concentrated positions AVA• Future administrative costs AVA• Early termination AVA• Operational risk AVA• Case studies & examples

Prudent Valuation Framework

• Implementation• Methodological framework• Operational framework• IT framework• Documentation & reporting• Example of prudent valuation

framework

PRE-CONFERENCE WORKSHOP DAY – WEDNESDAY 25TH MARCH

PRACTICAL AND EFFICIENT XVA IMPLEMENTATIONS IN C++ BY JÖRG LOTZE: TECHNICAL LEAD & CO-FOUNDER, XCELERIT

DAY SCHEDULE: 09:00 – 17:30 BREAK: 10:30 – 10:45 / LUNCH: 12:30 – 13:30 / BREAK: 15:15 – 15:30

ABSTRACT

Since the financial crisis of 2008, financial institutions have radically shifted their focus towards active management of the risks associated with OTC contracts. It is now standard practice to adjust derivative prices for counterparty credit risk and for the associated funding costs by means of CVA, DVA, FVA, and others - commonly referred to as xVA. The tight time constraints, high computational complexity, and ever-changing models require efficient implementations which don’t become a maintanance burden.

In this workshop you will learn how to implement a practical and efficient xVA framework in C++ that can deal with these challenges.

Useful C++ techniques will be covered, possible software architectures discussed, and practical examples shown throughout. The workshop covers a complete view of the xVA computation, including algorithmic optimisations, data loading, and results aggregation.

SUMMARY

1) xVA Computation and Performance Bottlenecks

Objectives: Learn how various xVAs are computed and where the bottlenecks lie

• xVA overview• CVA and DVA typical implementation• Collateral and Netting• FVA typical implementation• Algorithmic optimizations• Performance bottlenecks

2) Performance considerations for C++

Objectives: Learn about C++ DOs and DON’Ts in performance-critical xVA code

• Understanding where it hurts• Hardware considerations• Useful C++ design patterns• Data loading and representation• Let the compiler do the work: Templates• Generic algorithms

3) C++ Architecture

Objectives: Learn how to map the xVA computation to an efficient C++ architecture

• Parallel Monte-Carlo framework architecture• Representing the trades• Representing the scenarios• Designing the pricers• Adding Collateral and Netting• Aggregating the results

4) Example Implementation Walkthrough

Objectives: See an example xVA implementation and learn how to adapt it to your needs

• Architecture overview• Execution performance and profiling results• Testing and continuous integration• Error handling• Parallel execution• Extending the example

08:20 – 09:00 REGISTRATION

09:00 – 10:30PRUDENT VALUE CALCULATIONSby Tanguy Dehapiot: Head of Valuation Risk, BNP Paribas

• Background and overview• Details on main categories of AVA• The variance ratio test• Diversification effect: where does it come from?• Requirement for some interpretations (Valuation

exposure, Expected value, Day One Profit…)

10:30 – 10:50 BREAK

10:50 – 12:30PRACTICAL COMPUTATION OF THE PRUDENT VALUATION ADJUSTMENTby Dherminder Kainth: Head Of QuaRC, RBS

• Model AVA and market AVA• Capturing correlation effects• Pru val for counterparty and funding effects• Pru val and rnivs

08:20 – 09:00 REGISTRATION

09:00 – 10:30MARKET LIQUIDITY VALUATION ADJUSTMENT THE WAY TO DEFINE THE FUNDING VALUATION ADJUSTMENTby Christian Kamtchueng: CTK Head Advisor, ESSEC Lecturer MSTF

• FVA debate definition and pricing adjustment status: market views

• MLVA pre Lehman pricing adjustment and sub Liquidity Risk : definition it is also called Hedging Cost (transaction cost, bid ask spread consideration...)

• MLVA quantification : models and adjustment in order to quantify it and market practice

• FVA quantification : we should adopt a similar procedure for consistency

10:30 – 10:50 BREAK

10:50 – 11:40FUNDING, NETTING AND ACCOUNTINGby Mats Kjaer: Senior Quantitative Analyst, Derivatives Research, Bloomberg

• Valuation of derivative portfolios with multiple counterparties and netting sets.

• The funding strategy implied by the Albanese Andersen FVA accounting proposal.

• Some funding strategies and their netting set additivity.

• Implications of netting set (non-)additivity.

11:40 – 12:30CAPITAL SIMULATIONS AND MODEL RISKby Claudio Albanese: CEO, Global Valuation Limited

• XVA simulations• CET1 capital simulations• Risk limits: PFEs versus CET1 incremental quantiles• Hurdle rates versus return on equity• Reverse stress testing• The impact of negative rates in Gaussian interest rate

models

MAIN CONFERENCE DAY 1 – THURSDAY 26TH MARCH

STREAM A: FUNDING (FVA), ACCOUNTING & TAXATION (TVA)

STREAM B:PRUDENT VALUATION, INITIAL MARGINS, KVA & RELATED NUMERICAL METHODS

12:30 – 13:40 LUNCH

13:40 – 15:10TVA: TAX VALUATION ADJUSTMENT, EFFECTS OF CVA RISK WAREHOUSING AND CAPITAL COSTSby Chris Kenyon: Director, Quantitative Research, CVA, Lloyds Banking Group

• Credit risk hedging choices and limitations• CVA risk warehousing effects on capital requirements• Capital cost hedging• Accounting and Tax views on profits and PnL

volatility: taxes and tax shields• Tax Valuation Adjustment: double semi-replication

and P+Q measures

15:10 – 15:30 BREAK

15:30 – 16:15FVA, RING FENCING & LIQUIDITY MEASURESby Moorad Choudhry: Professor at the Department of Mathematical Sciences, Brunel University

• LCR & NSFR• Relationship between FVA & Regulatory Liquidity

measures

• Ring Fencing• What are the implications for FVA of separation?

12:30 – 13:40 LUNCH

13:40 – 15:10EFFICIENT NUMERICAL METHODS FOR THE KVA AND THE INITIAL MARGINby Alexander Antonov: Senior Vice President, Quantitative Research, Numerix

• Essential building blocks for the KVA & IM• The beasts: simulated Future VaR, Future PEF and

Future CVA• Future VaR/PFE: brute force simulation and efficient

approximation• Future CVA: theory and practice• Numerical comparison for cross-currency swap

portfolio

15:10 – 15:30 BREAK

15:30 – 16:15COST OF COLLATERAL FOR CLEARINGby Dmitry Pugachevsky: Director of Research, Quantifi (to be confirmed)

• Initial Margin Costs and Variation Margin Costs (IMC/VMC)

STREAM A: FUNDING (FVA), ACCOUNTING & TAXATION (TVA)

STREAM B: PRUDENT VALUATION, INITIAL MARGINS, KVA & RELATED NUMERICAL METHODS

MAIN CONFERENCE DAY 1 – THURSDAY 26TH MARCH

16:15 – 17:00DID BASEL PUT THE FINAL NAIL IN THE COFFIN OF CSA DISCOUNTING?by Alexandre Bon: Product Manager, Enterprise Risk Management, MUREX

FVA In Presence Of Stochastic Funding Spreads, Initial Margins And Imperfect Collateralisation Conditions

• FVA for economic value & incremental pricing• FVA via CSA discounting or Exposure simulation• Funding spreads and exposure co-dependence• Collateralisation regimes in the New Normal and

Initial Margins

16:15 – 17:00CHALLENGING THE ASSUMPTIONS BEHIND THE TRADITIONAL 10-DAY MODEL FOR THE MARGIN PERIOD OF RISKby Alexander Sokol: CEO and Head of Quant Research, CompatibL

• The popular 10-day model for the margin period of risk is found to make a number of assumptions that are inconsistent with market practice and the relevant legal agreements (IMA/CSA)

• An improved model is proposed that considers the remedies and suspension rights available within IMA/CSA (accounting their variations), the firm’s policies in availing itself of these rights against different types of counterparties,

• and the typical time it takes to exercise them in practice.

• The proposed model captures the operation of IMA/CSA in considerably greater detail than the model currently used by most practitioners, while remaining fully tractable and computationally effective.

• The inclusion of these effects had significant impact on XVA and CCR capital for several representative portfolios we considered.

STREAM A: FUNDING (FVA), ACCOUNTING & TAXATION (TVA)

STREAM B: PRUDENT VALUATION, INITIAL MARGINS, KVA & RELATED NUMERICAL METHODS

MAIN CONFERENCE DAY 1 – THURSDAY 26TH MARCH

17:00 – 18:00PANEL: HOW WILL THE LATEST REGULATIONS IMPACT CVA

This panel will discuss and expand on the topics presented at the conference:

• Prudent Valuation• Challenges to Implementation of Prudent Valuation• Regulatory impact on initial margins• TVA: Tax Valuation Adjustment• Capital Requirements Regulation• Funding (FVA) & Accounting• EBA’s standardization effort

• CHAIRED BY - Marco Bianchetti: Head Of Financial Modelling & Validation, Intesa Sanpaolo

PANELISTS: (TO BE CONFIRMED)

• Christian Kamtchueng: CTK Head Advisor, ESSEC Lecturer MSTF• Moises Gerstein: Head of CVA Trading Desk- Emerging Markets, ING Bank• Dherminder Kainth: Head Of QuaRC, RBS• Alexander Sokol: CEO and Head of Quant Research, CompatibL

18:00 NETWORKING RECEPTIONStay and continue the day’s discussions and network with food and drink.

09:00 – 10:30IMPACT OF INITIAL MARGIN ON CCP AND BILATERAL OTC - FUNDING, VALUATION AND CAPITALby Gordon Lee: CVA, Funding and Capital Quantitative Analyst & Marko Jevremovic: Quantitative Analyst, UBS Investment Bank

• Regulatory background to the push towards Collateralisation and Initial Margin

• CCP and its role in clearing• How to take into account of these costs in pricing

• XVA• Cost of Initial Margin• Cost of Capital• Basel 3 Capital computation with regards to

Bilateral OTC, CCP and Clearing

10:30 – 10:50 BREAK

10:50 – 11:40INITIAL MARGIN AND VARIATION MARGIN FOR NON-CENTRALLY CLEARED OTC DERIVATIVES AND THE NEW COST OF CLEARING ON CCP’Sby Patrice Touraine, Associate Director, & Matthieu Maurice, Associate Director, Global Market Solutions

• New arbitrage opportunities• Synergy• Convergence of Methodologies’ across central

counterparties

09:00 – 10:30KVA: IMPACT OF RWA COST OF CAPITAL ON PRICINGby Youssef Elouerkhaoui: Global Head of Credit Derivatives, Quantitative Research, Citigroup

• Motivation: pricing derivatives in a Basel III framework• Unified pricing with CVA, funding and capital• Fundamental invariance principle for CVA, funding

and capital• The solution: CVA, DVA, FVA, MVA and KVA• Moving from RWA hurdle rates to KVA• Application

10:30 – 10:50 BREAK

10:50 – 11:40FAST, ROBUST AND PORTABLE RECALIBRATION OF STOCHASTIC VOLATILITY MODELSby Matthew Dixon: Assistant Professor of Finance and Analytics, School of Management, University of San Francisco

• Robust and frequent recalibration of stochastic volatility (SV) models reduces model risk in CVA pricing.

• Replacing the FFT algorithm with Fourier-Cosine spectral transformations improves convergence properties.

• Combining differential evolution and local optimizers reduces convergence to local optima.

• Using the Xcelerit API automatically results in efficient deployment of the same C++ modelling code on many-core and multi-core CPU and GPUs.

MAIN CONFERENCE DAY 2 – FRIDAY 27TH MARCH

STREAM A: XVA, FUNDING & CAPITAL VALUE ADJUSTMENT (KVA)

STREAM B: REGULATIONS, INITIAL MARGINS, CCP & CLEARING

12:30 – 13:30 LUNCH

13:30 – 15:00A RISK FRAMEWORK FOR CENTRAL COUNTERPARTY EXPOSURESby Jon Gregory: Partner, Solum Financial Partners

We will present some theoretical results around the exposure of clearing members to a central counterparty (CCP) and analyse the underlying risks and behavioural aspects related to central clearing.

• The exposure to a CCP• EE and PFE to a CCP• Auction pricing behaviour• Balance between initial margin and default funds

15:00 – 15:15 BREAK

12:30 – 13:30 LUNCH

13:30 – 15:00BALANCE SHEET XVA: INCORPORATING BALANCE SHEET IMPACT INTO CVA, FVA AND KVAby Andrew Green: Head of Quantitative Research, CVA/FVA, Lloyds Banking Group

• The bank balance sheet and capital• Capital ratio• Leverage ratio• A simple balance sheet model with derivatives• Extending XVA to Portfolios• Balance Sheet XVA

15:00 – 15:15 BREAK

MAIN CONFERENCE DAY 2 – FRIDAY 27TH MARCH

STREAM A: XVA, FUNDING & CAPITAL VALUE ADJUSTMENT (KVA)

STREAM B: REGULATIONS, INITIAL MARGINS, CCP & CLEARING

11:40 – 12:30THE XVA PANEL: THE LATEST CHALLENGES OF A MOVE TOWARDS XVA

This panel will discuss the challenges of a move towards xVA

• The practical implementation of xVA • Discuss the increased importance of xVA• What is the potential of xVA sales?• The Incorporation and desk management• Optimal operating structures for the xVA desk• What are the barriers? How can they be surmounted?• What are the rewards for early adopters?• Timeliness of the xVA availability? What is the advantage to real-time or near

real-time availability?• In-house software - versus turnkey solution? Can you trust the black box?• Are today’s Quants ready and able to take on this challenge?

• CHAIRED BY - Hicham Lahlou: CEO & Co-Founder, Xcelerit

PANELISTS: (TO BE CONFIRMED)

• Claudio Albanese: CEO, Global Valuation Limited• Andrew Green: Head of Quantitative Research, CVA/FVA, Lloyds Banking Group• Gordon Lee: CVA, Funding and Capital Quantitative Analyst, UBS Investment Bank

STREAM A: XVA, FUNDING & CAPITAL VALUE ADJUSTMENT (KVA)

STREAM B: REGULATIONS, INITIAL MARGINS, CCP & CLEARING

MAIN CONFERENCE DAY 2 – FRIDAY 27TH MARCH

15:15 - 16:30XVA - THEORY VS MARKET PRICING

by Milena Imamovic-Tomasovic: Head Of CVA & Funding Methodology, Deutsche Bank

• Bullet points to follow

END OF CONFERENCE

TO REGISTER, PLEASE EMAIL THE COMPLETED BOOKING FORM TO:

sales@wbstraining.com

OR VIA FAX TO: +44 (0)1273 201 360

FLIGHT DETAILS:

All delegates flying into London on the morning of the event are

reminded that they should arrive 30 minutes before the workshop

starts for registration. The hotels West End location is approximately

1 hour from all 3 main London airports, Heathrow, Gatwick and City.

Returning flights should equally allow for the events finishing time.

SPONSORSHIP:

World Business Strategies Ltd, offer sponsorship opportunities for

all events, e-mail headers and the web site. Contact sponsorship via

telephone on: +44 (0)1273 201 352

DISCLAIMER:

World Business Strategies command the rights to cancel or alter any

part of this programme.

CANCELLATION:

By completing of this form the client hereby enters into a agreement

stating that if a cancellation is made by fax or writing within two

weeks of the event date no refund shall be given. However in certain

circumstances a credit note maybe issued for future events.

Prior to the two week deadline, cancellations are subject to a fee of

25% of the overall course cost.

DISCOUNT STRUCTURE:

The discount is available on any day permutation, and can be

combined across delegates within the same company (only at the time

of booking and not retrospectively).

CONTACT:www.wbstraining.com / sales@wbstraining.com

70% Academic Discount / FULL-TIME Students Only

THE 4TH CVA CONFERENCEMILLENNIUM HOTEL LONDON KNIGHTSBRIDGE25TH / 26TH / 27TH MARCH 2015

REGISTRATION:Tel: +44 (0)1273 201 352 / Fax: +44 (0)1273 201 360

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Early Bird Discount: 20% Before 30th January

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Early Bird Discount: 10% Before 27th February

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