CORDIS
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CORDIS

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Valuation Adjustments for Improved Risk Management

Project information

Grant agreement ID: 813261

Status

Ongoing project

  • Start date

    1 November 2018

  • End date

    31 October 2022

Funded under:

H2020-EU.1.3.1.

  • Overall budget:

    € 1 550 869,20

  • EU contribution

    € 1 550 869,20

Coordinated by:

STICHTING NEDERLANDSE WETENSCHAPPELIJK ONDERZOEK INSTITUTEN

Netherlands

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."

Coordinator

STICHTING NEDERLANDSE WETENSCHAPPELIJK ONDERZOEK INSTITUTEN

Address

Winthontlaan 2
3526 Kv Utrecht

Netherlands

Activity type

Research Organisations

EU Contribution

€ 531 239,76

Participants (9)

UNIVERSIDADE DA CORUNA

Spain

EU Contribution

€ 501 809,76

ALMA MATER STUDIORUM - UNIVERSITA DI BOLOGNA

Italy

EU Contribution

€ 261 499,68

UNIVERSITE LIBRE DE BRUXELLES

Belgium

EU Contribution

€ 256 320

UNIPOL GRUPPO FINANZIARIO SPA

Italy

COOPERATIEVE RABOBANK UA

Netherlands

BELFIUS BANQUE SA

Belgium

ABANCA CORPORACION BANCARIA, SA

Spain

BANCO SANTANDER SA

Spain

TECHNISCHE UNIVERSITEIT DELFT

Netherlands

Partners (1)

ALMIS INFORMATICA FINANCIERA

Spain

Project information

Grant agreement ID: 813261

Status

Ongoing project

  • Start date

    1 November 2018

  • End date

    31 October 2022

Funded under:

H2020-EU.1.3.1.

  • Overall budget:

    € 1 550 869,20

  • EU contribution

    € 1 550 869,20

Coordinated by:

STICHTING NEDERLANDSE WETENSCHAPPELIJK ONDERZOEK INSTITUTEN

Netherlands