Revisiting FVA: Shareholder and Bondholder Perspectives

Revisiting FVA: Shareholder and Bondholder Perspectives
Attend live in London or join the online webcast
Fitch Learning, The Corn Exchange, 55 Mark Lane, London, EC3R 7NE

Overview
The debate around FVA has continued with further agruments from Adersen, Duffy and Song that FVA should not be part of fair value. Nevertheless, over 40 banks have already taken reserves for FVA. Furthermore, many banks retain credit DVA as an accounting item, a reserve that is potentially incompatible with FVA models. To resolve the debate requires careful consideration of value as seen from the perspective of both debt and equity investors in the bank.

During this talk, Dr Andrew Green aims to revisit FVA models with explicit consideration of shareholder and bondholder values both in the event of own default and on an ongoing basis

Dr. Andrew Green is the author of XVA: Credit, Funding and Capital Valuation Adjustments. He is currently the Managing Director and XVA Lead Quant at Scotiabank. Prior to his current role he was previously head of CVA / FVA Quantitative Research teams at Lloyds Banking Group, focusing on the development and implementation of models for CVA, FVA, capital and collateral management. Before joining Lloyds in 2008, Dr. Green established and headed the CVA Quant team at Barclays Capital. Andrew joined Barclays in 1996, where he held quantitative roles in equity and fixed income derivatives. Andrew is a regular speaker on XVA at conferences in the UK, US and Europe.

This talk is part of the CQF Institute Wiley Lecture Series.

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