Innovating Works

ABC-EU-XVA

Financiado
Valuation Adjustments for Improved Risk Management
"This EID aims to address significant challenges arising from the mathematical modelling, numerical computation and risk management, in the form of valuation adjustments, of financial contracts. Valuation adjustments represent a m... "This EID aims to address significant challenges arising from the mathematical modelling, numerical computation and risk management, in the form of valuation adjustments, of financial contracts. Valuation adjustments represent a major focus of the on-going regulatory reform related to the recent global financial crisis. X-Value Adjustment (XVA) refers generally to these different valuation adjustments. The purpose of XVA is two-fold: To hedge possible losses due to a counterparty default event, and to determine the amount of capital required by the institution under the new regulations. The ""X"" in XVA can be many letters, as institutions have to deal with CVA (credit value adjustment), FVA (funding value adjustment), KVA (capital value adjustment), MVA (margin value adjustment), etc. This is reflected in the EID's title. As these adjustments require deep understanding in terms of the mathematical modelling and efficient computation, we will work at the forefront and consider huge financial portfolios and different market scenarios, inclusing extreme cases. We thus wish to educate six ESRs in modern risk management and valuation adjustments, and we are in the unique setting that four major European banks, one major European insurer plus a major consulting company agreed to join efforts with five reputed academic beneficiaries, from Spain, Italy, Belgium and the Netherlands. The industry will host the ESRs for 18 months and will be active in the special organized Events. Next to advanced research projects for ESRs, we will set up a series of educational weeks in the form of summer- and winterschools, where different aspects of risk management and valuation adjustments, including wrong-way risk, collateralization, real world versus risk neutral measure simulations are discussed in detail. Tailored courses on entrepeneurship, on boosting the ESR's CVs, on management and proposal writing will give the ESRs a warm start of a successful career in the financial industry." ver más
31/10/2022
NWO-I
2M€
Duración del proyecto: 49 meses Fecha Inicio: 2018-09-05
Fecha Fin: 2022-10-31

Línea de financiación: concedida

El organismo H2020 notifico la concesión del proyecto el día 2022-10-31
Línea de financiación objetivo El proyecto se financió a través de la siguiente ayuda:
MSCA-ITN-2018: Innovative Training Networks
Cerrada hace 6 años
Presupuesto El presupuesto total del proyecto asciende a 2M€
Líder del proyecto
STICHTING NEDERLANDSE WETENSCHAPPELIJK ONDERZ... No se ha especificado una descripción o un objeto social para esta compañía.
Perfil tecnológico TRL 4-5