Filmed at 'Dynamics Driving the OTC Markets', Quantifi's Annual Risk Conference, London
The sell-side panel, moderated by Milena Imamovic-Tomasovic, Head of CVA, Funding & Equity Methodology, Deutsche Bank, reflected on the impact of market changes on XVA pricing and modelling methodology, how banks are dealing with a regulatory divergence in the market and centralised XVA processes. The panellists discussed the diversity in pricing and price discrepancies in the market and how, from a quantitative perspective, getting to grips with the impact of capital on pricing is challenging. One other key talking point was how hedging XVA is transitioning from the front-office to a central risk group as it is more optimal given the netting benefits of capital, credit and funding.
Panelists include:
Steven Marshall, Managing Director, Cross Asset Products, Nomura
Jeremy Vice, Managing Director, Head of CVA Trading, UniCredit
Andrew Green, Head of CVA/ FVA Quantitative Research, Lloyds Banking Group
15 окт 2024
