The World Post-XVA Implementation, Frankfurt

Quantifi and Deloitte's joint seminar 'The World Post-XVA Implementation' focussed on the impacts of XVA on OTC markets including the influence on daily business management and how pricing for OTC derivatives has been transformed

Agenda

  • How has XVA influenced daily business management and the ability to steer the business?
    • P&L volatility, RWA optimisation, hedging, processes for backloading, and limit management
  • Bringing the two worlds together – the IFRS view and the economic view.
    • Rating based PD’s vs Market Implied PD’s, PD mapping approaches, Pricing FVA: Do or Don’t?

Speakers

  • Rohan Douglas, CEO, Quantifi
  • Mario Schlener, Director, Deloitte
  • Dirk Talkenberger, Head of risk management Market, DekaBank
  • Birgitta Drwenski, Head of Pricing and Analysis Team, FIC, CVA Trading & Risk Optimisation, Commerzbank
  • Rainer Overbeck, Head of Structured Credit Trading, DZ Bank
  • Jeremy Vice, Managing Director, Head of CVA Trading, Unicredit

insights

Innovative thinking

Whitepapers

How to Accelerate XVA Performance

As banks look to reduce, mitigate, and optimize XVA and other capital charges, they are making investment in XVA capabilities in an attempt to solve the computational challenge of simulating a full universe of risk factors.

Blog

Accelerating the Performance of Large-scale XVA Workloads

Given the strategic importance of XVA, banks require enhanced capabilities and modern infrastructures to calculate the required credit, funding, and capital adjustments. As banks look to reduce, mitigate, and optimize XVA and other capital charges, they are making investment in XVA capabilities in an attempt to solve the computational challenge of simulating a full universe of risk factors.

News

Quantifi & EY Seminar Reveals Challenges and Benefits of XVA

Quantifi hosted a joint seminar with EY in Frankfurt. Senior practitioners from leading financial institutions, regulators and other market participants gathered for a compelling evening of unique insights and discussion on XVA (CVA, DVA, FVA).

Let's talk!

Speak with one of our solution experts
Loading...