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?

 

The Dynamics Driving OTC Markets - NY Highlights

The Dynamics Driving OTC Markets - NY Highlights

 

The Dynamics Driving OTC Markets - NY Highlights

 

The Dynamics Driving OTC Markets - NY Highlights

The Dynamics Driving OTC Markets - NY Highlights

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  

 


Recommended Whitepapers and Articles

Pricing Challenges Ahead: Turning XVAs into Competitive Advantage 

Sell-Side Risk Management, Chartis RiskTech Quadrant®​

FRTB: Moving Towards a Practical Implementation