Valuation Adjustments: Pricing and Risk Management
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