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New York City - Financial Engineering Practitioners Seminar - Featuring Dar...

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Manhattan Institute of Management

110 William Street

3rd Floor

New York, NY 10038

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Contrary to current valuation practice, funding value adjustments (FVAs) are not themselves components of the market values of the positions being financed. The current dealer practice of reducing the computed market values of their positions by FVAs does, however, align incentives between trading desks and shareholders. While others have already suggested that the market values of swaps do not actually include an FVAs component, this seminar will look at identifying and characterizing the true nature of FVAs with a structural model of a dealer’s balance sheet. It will also cover how to establish a pecking order for preferred asset financing strategies and provide a new interpretation of the standard debit value adjustment (DVA).




Global Risk Institute, Industrial Engineering and Operations Research at Columbia Business School, Columbia Business School, NYU Tandon School of Finance and Risk Engineering, NYU Courant Institute of Mathematical Scieneces, Bloomberg LP and the International Association of Quantitative Finance (IAQF) invite you to Darrell Duffie's seminar.


Darrell Duffie is the Dean Witter Distinguished Professor of Finance at Stanford University's Graduate School of Business, and Professor (by courtesy) in the Department of Economics, Stanford University. He is a Fellow and member of the Council of the Econometric Society, a Research Fellow of the National Bureau of Economic Research, a Fellow of the American Academy of Arts and Sciences, and a member of the board of directors of Moody’s Corporation. Mr. Duffie was the 2009 president of the American Finance Association, and in 2014 chaired the Financial Stability Board’s Market Participants Group on Reference Rate Reform. His recent books include How Big Banks Fail (Princeton University Press, 2010), Measuring Corporate Default Risk (Oxford University Press, 2011), and Dark Markets (Princeton University Press, 2012).

http://www.darrellduffie.com/

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Manhattan Institute of Management

110 William Street

3rd Floor

New York, NY 10038

View Map

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