Salamon, Gábor (Morgan Stanley)
XVA
-- the Valuation Adjustment Zoo
What are all those valuation adjustments banks has
recently started adding to their fair value calculation? Last year we covered CVA (Credit Valuation
Adjustment) but what are all its new Valuation Adjustment peers, covered by the
generalized name XVA?
In this presentation we will consider Funding VA, Libor
VA, Collateral VA and Cheapest-to-Deliver VA, Capital VA and Margin VA. Participants will learn about how post-crisis
funding models led to their emerge, about how they are
counted in to bank’s balance sheets and about how they are calculated.
Date: Oct. 11, Tuesday 4:15pm
Place: BME, Building „Q”, Room QBF13