Valuation Adjustments: Pricing and Risk by Andrea Prampolini

Presenter: Andrea Prampolini: Head of Counterparty Risk Management, Banca IMI  

Adjusting the value of derivatives

  • The rise of a hybrid asset class
  • Operational evolution
  • Perspectives on value

Credit Value Adjustment

  • Counterparty risk and financial stability
  • Computing conditional expectations
  • Global calibration
  • Sensitivities
  • Transfer pricing
  • Mitigation and management

Debt Value Adjustment

  • Fair value and the law of one price
  • Hedging DVA
  • Allocation of DVA cost

Funding Value Adjustment

  • Funding cost and funding benefit
  • Evidence from the novation market
  • Managing FVA
  • Financing initial margin

Capital charge

  • Forward RWA
  • Managing the cost of capital
  • Contingent capital structure