XVA: Credit, Funding and Capital Valuation Adjustments London

Andrew Green is a Managing Director and lead XVA Quant at Scotiabank in London. He is the author of XVA: Credit, Funding and Capital Valuation Adjustments which is published by Wiley, co-editor of Landmarks in XVA which is published by Risk Books and co-author of a number of technical articles on XVA in recent years.

Assad Bouayoun has over 15 years of quantitative analysis experience in investment banking. He is a quantitative finance specialist focusing on total valuation including funding and capital cost, XVA, risk, stress and reverse stress testing.

He was responsible for designing industry standard hedging and pricing systems in equity derivatives during his time in Commerzbank, and had the same responsibility in credit derivatives while working for Credit Agricole, and also in xVA in institutions like Lloyds, RBS and Scotiabank. He lead the modelling team responsible for the research and development of the simulation engines used for exposure computation within HSBC in London. Now he is XVA and Credit Derivative quantitative analyst at Daiwa Capital Market..
During the different projects Assad has undertaken in quantitative finance, he integrated new technologies such as Cloud, GPU and QPU; new design (parallelization using graphs) as well as new numerical methods such as AAD. He also participated to the firmwide data standardization and integration that are essential aspects of the success of these projects. He is also leading an effort to leverage quantum annealing for financial quantitative reverse stress testing.

He holds a MSc in Mathematical Trading and Finance from Cass Business School and an MSc in Applied Mathematics and Computer Science from UTC (University of Technology of Compiegne, France).  

Broad industry experience as a Front Office Quantitative Analyst. Expertise in Pricing methodology design, modelling and testing (C++, C#, Python ). Expertise in various subjects: Monte Carlo optimisation techniques, American Monte Carlo, Parametric volatility models, dividend modelling, Variance and Volatility products, flexible exotic products scripting, risk profile and modelling

Amira joined EY’s Quantitative Advisory Services team in 2014 and led since then large deliveries in FO Modelling, Algorithmic & eTrading, QIS : development, testing, documentation, validation & regulatory framework - FO processes, accelerators & methodologies - FO Automation, Analytics & Innovation.