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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.

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

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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