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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.

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

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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