ABC-EU-XVA

Valuation Adjustments for Improved Risk Management

Abstract

The project 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, including extreme cases.

Project details

Unibo Team Leader: Andrea Pascucci

Unibo involved Department/s:
Dipartimento di Matematica

Coordinator:
Stichtinf Fom(Netherlands)

Other Participants:
Universite' Libre De Bruxelles (Belgium)
Ernst & Young Accountants LLP (Netherlands)
Universidade Da Coruña (Spain)
Belfius Banque Sa - Belfius Bank Nv (Belgium)
Banco Santander S.A (Spain)
Technische Universiteit Delft - Delft University Of Technology (Netherlands)
Rabobank Nederland (Netherlands)
Abanca Corporacion Bancaria, Sa (Spain)
ALMA MATER STUDIORUM - Università di Bologna (Italy)
Unipol Gruppo S.P.A. (Italy)

Total Eu Contribution: Euro (EUR) 1.550.869,20
Project Duration in months: 48
Start Date: 01/11/2018
End Date: 31/10/2022

Cordis webpage

Decent work and economic growth This project contributes to the achievement of the Sustainable Development Goals of the UN 2030 Agenda.

UE flag This project has received funding from the European Union's Horizon 2020 research and innovation programme under grant agreement No 813261