Calculating XVA and PFE for Commodities

This webinar explained why calculating PFE and XVA for commodity trades is increasingly important in volatile energy markets, highlighting Monte Carlo modelling challenges, added complexities in energy derivatives, and the considerations between internal builds and external solutions.

This session explored why calculating PFE and XVA for commodity trades is increasingly critical amid heightened energy market volatility and regulatory scrutiny. We examine how PFE and XVA apply to commodity portfolios, the modelling challenges of Monte Carlo simulation, additional complexities in energy derivatives, and the trade offs between internal builds and external solutions.

Agenda

Market Context and Why Now
PFE and XVA for Commodity Portfolios
Challenges for Modelling Commodities in Monte Carlo
Additional Complexity with Energy Derivatives
External vs internal build

Hosted by - Dmitry Pugachevsky, Director of Research, Quantifi

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