Projet ABC-EU-XVA (Horizon 2020, appel à projets 2018)
Action : Doctoral Networks - Industrial Doctorates
Panel : Mathematics
Statut du projet : CLOSED

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.

Mots clés : risk management, mathematical modelling, computational algorithms, derivatives pricing, valuation adjustments

Participants :
- Delft University of Technology (Pays-Bas) — Partner, beneficiary, Enseignement supérieur ou secondaire, subvention : 0.0 €
- Cooperatieve rabobank ua (Pays-Bas) — Partner, beneficiary, Organismes privés (hors enseignement), subvention : 0.0 €
- University of A Coruña (Espagne) — Partner, beneficiary, Enseignement supérieur ou secondaire, subvention : 501809.76 €
- Banco Santander (Spain) (Espagne) — Partner, beneficiary, Organismes privés (hors enseignement), subvention : 0.0 €
- Dutch Research Council (Pays-Bas) — Coordinator, beneficiary, Recherche, subvention : 531239.76 €
- Almis informatica financiera (Espagne) — Partner, organization partner, Organismes privés (hors enseignement), subvention : 0.0 €
- Université Libre de Bruxelles (Belgique) — Partner, beneficiary, Enseignement supérieur ou secondaire, subvention : 256320.0 €
- University of Bologna (Italie) — Partner, beneficiary, Enseignement supérieur ou secondaire, subvention : 261499.68 €
- Abanca corporacion bancaria, sa (Espagne) — Partner, beneficiary, Organismes privés (hors enseignement), subvention : 0.0 €
- Unipol gruppo finanziario spa (Italie) — Partner, beneficiary, Organismes privés (hors enseignement), subvention : 0.0 €
- Belfius banque sa (Belgique) — Partner, beneficiary, Organismes privés (hors enseignement), subvention : 0.0 €