vi segnalo il prossimo seminario della serie Stochastics and Mathematical Statistics (SMS)

Data: Mer 20 Settembre alle ore 14.00-15.00 

Luogo: Aula C, Palazzo Campana, Via Carlo Alberto 10, Torino

Speaker: Davide Trevisani (Universitade da Coruña and CITIC)

Titolo: A brief introduction to XVA and KVA

Abstract:  Differently from some financial asset classes whose risks can belong to a wide market segment, many derivatives are closely tied to counterparty risk. Already at the end of ’90s, and definitively with the great crisis of 2007-2008, quantifying such risk gained great importance in financial industry. However, nowadays, institutions are not merely concerned with coping with default events but also with the expenses associated with such risks. These expenditures are primarily driven by regulatory requirements and contractual obligations. Quantifying these costs is the aim of Value Adjustments (XVAs). In this talk, we briefly present the mathematical framework of market with dividends. We then examine a pricing model with KVA (Capital Value Adjustment).

Si invitano tutti gli interessati a partecipare.

Cordialmente

Elena

(a nome degli organizzatori Bruno Toaldo,  Elena Issoglio)