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MS01: The European Industrial Doctorate ABC-EU-XVA

This minisymposium is related to the European Industrial Doctorate ABC-EU-XVA, which aims to address a number of 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 ongoing regulatory reform related to the recent global financial crisis. X-Value Adjustment (XVA) refers generally to these valuation adjustments. The purpose of XVA is twofold: to hedge possible losses due to a counterparty default event, and to determine the amount of capital required by the bank under the new regulations.

In this minisymposium the doctoral students enrolled in the project will present their first results on the topic, which require the use of tools from quantitative finance, stochastic calculus, PDEs, numerical methods, machine learning, scientific computing, etc.

Thursday, April 15, 10:20-12:00 (Chair: Carlos Vázquez Cendón)

  1. 10:20 Felix L. Wolf, Griselda Deelstra, Lech A. Grzelak, Cheapest-to-Deliver Collateral: A Common Factor Approach
  2. 10:40 Luis Antonio Souto Arias, Pasquale Cirillo, Cornelis W. Oosterlee, Joint PD and LGD estimation with a Bivariate Beta regression
  3. 11:00 Kevin Kamm, Stefano Pagliarani, Andrea Pascucci, On the Stochastic Magnus Expansion and its Application to SPDEs
  4. 11:20 Roberta Simonella, Carlos Vázquez Cendón, Iñigo Arregui, Modelling and Computing the XVA for Several European Options in a Multi-Currency Setting
  5. 11:40 Graziana Colonna, Ana María Ferreiro, Carlos Vázquez Cendón, A Hybrid Approach Based on a Multi-Level Monte-Carlo Finite Element Method for XVA in European Options

Check the Project Webpage.