The XVA Debate, Past and Future
Published: 9 February 2024
16 April. This half-day hybrid event will discuss the XVA Debate, Past and Future
Tuesday 16 April 2024, 2:00 pm - 5:00 pm
Fore Hall, University of Glasgow and online
We are delighted to host a half-day hybrid event on the XVA Debate which will discuss the recent accounting regulations (driven by the new regulatory environment post-2008).
Valuation adjustment is the umbrella name for adjustments made to the fair value of a derivatives contract to take into account funding, credit risk and regulatory capital costs. Dealers typically incorporate the costs associated with XVAs into the price of a new trade.
Despite the importance of XVAs, both the theory of XVAs and our understanding of how they impact dealers’ balance sheets, asset liquidity and capital markets remain in their infancy.
This policy roundtable is an opportunity for academics, policy experts and the industry to meet and discuss recent developments in this area. This hybrid event is free to attend.
Schedule
2:00 pm - Arrival and registration
2:20 pm - Opening remarks, Professor Mario Cerrato, Adam Smith Business School
2:25 pm - First session: A decade of FVA and KVA, between practice and financial theory
- Stefano Iabichino, Director in UBS's Quantitative Investment Solutions team.
- Prof. Darrell Duffie, Graduate School of Business, Stanford University.
3:00 pm: Discussion
3:30 pm - Second session: Wrong-way-risk and the digital banking era
- Claudio Albanese, Founder and CEO of Global Valuation, London
- Nina Boyarchenko, Head of Macrofinance Studies within the Financial Stability Policy Research Division, Federal Reserve Bank of New York.
4:00 pm Discussion and networking
Further information: business-events@glagow.ac.uk
First published: 9 February 2024
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