Pricing Challenges Ahead: Turning XVAs into Competitive Advantage

Quantifi and Chappuis Halder & Cie hosted a joint seminar in Paris on 'Pricing Challenges Ahead: Turning XVAs into Competitive Advantage.  This seminar focused on business challenges and how CVA has evolved, the introduction of XVA and how firm are practically looking at what is require to manage XVA



"It's one of these events where you realise that you are never facing these challenges
alone and therefore exchanging views is always an enriching experience"



Pricing Challenges Ahead - Turning XVAs into Competitive Advantage

Regulations - What else?

  • Have we gone too far in regulating capital markets activities?
  • A step ahead: more regulations, more controls or towards an integrated regulatory framework

Pricing and XVAs - All In?

Pricing and XVAs - All-in

  • Economic Value vs Market Value: the reality of the trading floor

  • Early adopters vs Followers: lessons learnt


XVAs - An organization shaker?

  • Central desk or silos?
  • Role of risk managers and product controllers


  • Rohan Douglas, CEO, Quantifi
  • Bertrand Billon, Partner, Chappuis Halder & Cie
  • Pascal Gibart, Head of Market Risk Quants, CACIB
  • Elsa Allman, International Banking Specialist, ACPR
  • Sébastien Lombart, Global Head of Scarce Resources Desk, SGCIB
  • Arnaud Lafosse Marin, Collateral Solutions - Global Markets, BNP Paribas
  • Christophe Drozo, CVA & FVA Project Manager, Natixis
  • Laurent-Olivier Valigny, Global Head Valuation Control, HSBC
  • Nicolas Ferrasse, Head of Counterparty Global Monitoring Group,Société Générale CIB



Recommended Whitepapers and Articles

The World Post-XVA Implementation, Frankfurt​

Explaining the Two Key FRTB Frameworks

Microservices - The New Building Blocks of Financial Technology