Evolving XVAs: How to Manage Changing Regulation and Competitive Pricing

Speakers:

• Irina Slobodyanyuk, Risk Product Specialist, Numerix
• Julien Second, Managing Director, Head of XVA Trading, RBC London
• Nicki S. Rasmussen, First Vice President, Head of XVA Desk, Danske Bank A/S
• Moderator: Lukas Becker, Editor, Derivatives, Risk.net

Key topics discussed included:

• The scope of XVA– what is new and what is changing
• Managing CVA and hedging hurdles
• Pre trade XVA – gaining a competitive advantage
• The fifth implementation of the IM rules and how this affects MVA
• XVA impacts of Libor transition
• XVA in the Cloud - how to manage valuations with big data