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.

The EID WAKEUPCALL has been set up with the knowledge that, in the WAKE of the financial crisis, a reconsideration of fundamental assumptions that have been standard in the mathematical models for the valuation of financial and insurance products, like CALLs is taking place. The crisis alerted to reiterate models, assumptions and computations. It is now better understood that the usual paradigm, in which financial risks can be mitigated, spread, or even hedged away perfectly, is too simplistic for markets under stressed conditions. Lead by the Basel Committee on Banking Supervision, financial and insurance institutions are currently implementing new paradigms regarding risk management. Many of the updates in the risk measures involve sophisticated mathematics. In this sense, the crisis has provided important feedback on appropriate directions for the required mathematical improvements. As regards to hedging and risk mitigation, which are important steps in the risk management chain, nowadays even the hedging of basic financial instruments has become a complicated task. More sophisticated models are needed if hedging programs are to remain effective under financial stress. We wish to bring together academic researchers in financial mathematics and high level professionals in financial and insurance industries, discuss and interact by means of early-stage researchers (ESRs). We are interested in the mathematical models, as well as in advanced solution techniques used for pricing and risk measurement. We wish to educate young experts in modern risk measures and management. Advanced courses by academic and professional lecturers will be selected for the education of the ESRs. We will additionally work on providing entrepeneurial skills to ESRs as they will have a unique knowledge of applied mathematics on practically relevant research questions in computational finance. All ESRs will produce software, according to latest standards in high performance computing.

FAME is a joint effort of world-class experts in data management, data technologies, the data economy, and digital finance to develop, deploy and launch to the global market a unique, trustworthy, energy-efficient, and secure federated data marketplace for Embedded Finance (EmFi). The FAME marketplace will alleviate the proclaimed limitations of centralized cloud marketplaces towards demonstrating the full potential of the data economy. In this direction, the project will enhance a state of the art data marketplace infrastructure (i.e., H2020 i3-Market marketplace) with novel functionalities in three complementary directions namely: • Secure, interoperable, and regulatory compliant data exchange across multiple federated cloud-based data providers in-line with emerging European initiatives like GAIA-X. • Decentralized, programmable, data assets trading and pricing leveraging blockchain tokenization techniques (including support for accruing data assets value in NFTs). • Integration of trusted and Energy Efficient (EE) analytics based on novel technologies such as Quantitative Explainable AI, Situation Aware Explainability (SAX), incremental EE analytics, and edge analytics. FAME will become operational in a federated cloud environment with multiple providers of EmFi data assets, including datasets, AI/ML models, and more. It will become interconnected with more than 12 data marketplaces that are operated by the project partners, as well as with other data infrastructures that will support the implementation of 7 pilots. Through this process, the catalog of the FAME marketplace will be populated with a critical mass of 1000+ data assets. Furthermore, FAME will establish a Learning Center (LC) for tech and non-tech users, as this is a key prerequisite for unlocking the potential of the data economy. FAME will build a vibrant community of EmFi stakeholders around the FAME platform, which will serve as a catalyst for the sustainability of the project’s results.