HSBC North America Quant Symposium
Quantifi Director of Research, Dmitry Pugachevsky, will be discussing IR model considerations for XVA calculations at the HSBC North America Quant Symposium.

The event provides industry participants an opportunity to hear from industry experts share their ideas and perspectives on the trends shaping quantitative finance.

IR Model Considerations for XVA Calculations

  • Swap exposures as forward starting swaptions
  • Calibrating IR models to market quotes
  • Hull-White vs. LIBOR Market Model
  • Testing results and conclusions

Speaker

Dmitry Pugachevsky, Director, Research, Quantifi

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