ABC-EU-XVA Grant Agreement number 813261

A Marie Curie ITN EID Project


 An ambitious project looking for ambitious candidates



What we offer

  • Top-level education in top universities
  • Cutting-edge research topics
  • Close interaction with top companies from the industry
  • Highly international setting
  • Competitive salary and benefits
  • Possibility to grow as a researcher and as a person

The project aims to address significant challenges arising from the mathematical modeling, 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 mathematical modeling and efficient computation, we will work at the forefront and consider huge financial portfolios and different market scenarios, including extreme cases.

The ABC-EU-XVA project is a European Industrial Doctorate (EID), funded within the Horizon2020 framework. It is a Marie-Curie initiative in which six Early Stage Researchers (ESRs, i.e. PhDs) will work closely with industrial partners on a PhD Thesis in applied mathematics. The partners involved in the project come from 4 different European countries: Belgium, Italy, Spain, and The Netherlands. The universities involved are Université Libre de Bruxelles, Università degli Studi di Bologna, Universidade da Coruña, Delft University of Technology and the Dutch National Research Institute for Mathematics and Computer Science (CWI). The industrial partners include top international players like Belfius Bank (BE), Unipol Gruppo Spa (IT), Abanca Corporación Bancaria (ES), Banco Santander (ES), EY (NL) and Rabobank (NL). The selected candidates will have the opportunity to work in a highly international environment, with several joint activities in different countries, travels, and cutting-edge research.