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Upcoming Event Explores Best Practice in Prudent Valuation

To meet requirements outlined in the European Banking Authority’s (EBA) Regulatory Technical Standards, financial institutions throughout Europe are working tirelessly to implement well-defined prudent valuation frameworks. To explore this trend, Marcus Evans will be holding their 5th Edition Fair and Prudent Valuation for Derivatives conference, November 20-22 in London.

Specifically, the event will cover how firms can practically optimize valuation governance to best incorporate the latest XVAs and regulatory requirements. Attendees will also get strategic insights from leading figures in European finance, revealing best practice around the principles of valuation and adjustment, regulation compliance and risk modelling.

We are excited to announce that FINCAD’s own, Christian Kahl, PhD, Director of Quantitative Analytics, will be one of the speakers at the event. Christian will share valuable best practices in prudent valuation, including how to calculate optimal netting for reduced capital costs.  

When it comes to prudent valuation, most banks have been focused on what they need to do to achieve compliance. However, it is equally important to understand how your firm stands to benefit from the regulation. In fact, policies set forth by regulators allow for netting that enables banks to realize significant capital savings, which better reflect their true exposures.

In his session, Christian will explain how firms can attain their maximum netting benefit by focusing on the core additional valuation adjustments for market price uncertainty and close-out costs. He will also discuss how to incorporate both internal and regulatory constraints in a robust quantitative process.   

We hope to see you at the conference! For more information, check out our events page: Marcus Evans - 5th Edition Fair and Prudent Valuation for Derivatives

About the author

Per Eriksson

Enterprise Sales Executive, FINCAD

Per Eriksson is responsible for the Nordic and Benelux region at FINCAD. He has been working in the financial software industry for six years. During that time, Per has held titles including senior consultant, implementation specialist, account manager and sales executive, at firms such as FactSet and FINCAD. Per holds a Master’s degree in Financial Economics from the University of Gothenburg, as well as a Professional Risk Manager Designation. 

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