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ABC-EU-XVA SIGNED

Valuation Adjustments for Improved Risk Management

Total Cost €

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EC-Contrib. €

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Partnership

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 ABC-EU-XVA project word cloud

Explore the words cloud of the ABC-EU-XVA project. It provides you a very rough idea of what is the project "ABC-EU-XVA" about.

crisis    regulatory    event    versus    discussed    refers    scenarios    netherlands    belgium    mva    losses    summer    xva    esr    deal    numerical    arising    beneficiaries    wrong    esrs    deep    courses    consulting    active    months    financial    modern    portfolios    reform    setting    start    adjustment    academic    18    fold    simulations    agreed    fva    entrepeneurship    amount    spain    risk    events    eid    efforts    boosting    career    mathematical    reputed    join    default    capital    computation    hedge    margin    valuation    title    inclusing    industry    warm    form    plus    neutral    regulations    give    global    host    special    kva    educational    successful    wish    purpose    banks    huge    educate    winterschools    extreme    cva    forefront    letters    six    insurer    adjustments    company    series    italy    writing    counterparty    collateralization    reflected    efficient    credit    contracts    weeks    world    generally    cvs    market   

Project "ABC-EU-XVA" data sheet

The following table provides information about the project.

Coordinator
STICHTING NEDERLANDSE WETENSCHAPPELIJK ONDERZOEK INSTITUTEN 

Organization address
address: WINTHONTLAAN 2
city: UTRECHT
postcode: 3526 KV
website: www.fom.nl

contact info
title: n.a.
name: n.a.
surname: n.a.
function: n.a.
email: n.a.
telephone: n.a.
fax: n.a.

 Coordinator Country Netherlands [NL]
 Total cost 1˙550˙869 €
 EC max contribution 1˙550˙869 € (100%)
 Programme 1. H2020-EU.1.3.1. (Fostering new skills by means of excellent initial training of researchers)
 Code Call H2020-MSCA-ITN-2018
 Funding Scheme MSCA-ITN-EID
 Starting year 2018
 Duration (year-month-day) from 2018-11-01   to  2022-10-31

 Partnership

Take a look of project's partnership.

# participants  country  role  EC contrib. [€] 
1    STICHTING NEDERLANDSE WETENSCHAPPELIJK ONDERZOEK INSTITUTEN NL (UTRECHT) coordinator 531˙239.00
2    UNIVERSIDADE DA CORUNA ES (LA CORUNA) participant 501˙809.00
3    ALMA MATER STUDIORUM - UNIVERSITA DI BOLOGNA IT (BOLOGNA) participant 261˙499.00
4    UNIVERSITE LIBRE DE BRUXELLES BE (BRUXELLES) participant 256˙320.00
5    ABANCA CORPORACION BANCARIA, SA ES (A CORUNA) participant 0.00
6    BANCO SANTANDER SA ES (CANTABRIA) participant 0.00
7    BELFIUS BANQUE SA BE (BRUXELLES) participant 0.00
8    COOPERATIEVE RABOBANK UA NL (UTRECHT) participant 0.00
9    TECHNISCHE UNIVERSITEIT DELFT NL (DELFT) participant 0.00
10    UNIPOL GRUPPO FINANZIARIO SPA IT (Bologna) participant 0.00
11    ALMIS INFORMATICA FINANCIERA ES (Oñati) partner 0.00

Map

 Project objective

'This EID 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, inclusing extreme cases.

We thus wish to educate six ESRs in modern risk management and valuation adjustments, and we are in the unique setting that four major European banks, one major European insurer plus a major consulting company agreed to join efforts with five reputed academic beneficiaries, from Spain, Italy, Belgium and the Netherlands. The industry will host the ESRs for 18 months and will be active in the special organized Events.

Next to advanced research projects for ESRs, we will set up a series of educational weeks in the form of summer- and winterschools, where different aspects of risk management and valuation adjustments, including wrong-way risk, collateralization, real world versus risk neutral measure simulations are discussed in detail. Tailored courses on entrepeneurship, on boosting the ESR's CVs, on management and proposal writing will give the ESRs a warm start of a successful career in the financial industry.'

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The information about "ABC-EU-XVA" are provided by the European Opendata Portal: CORDIS opendata.

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