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

Navigate major trends & developments shaping the industry

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