CVA Greeks: Their Importance, Common Calculation Methodologies, & Testing for Accuracy

Since the 2008 financial crisis, Credit Valuation Adjustment (CVA) has become an industry standard practice for pricing counterparty default risk into Over-The-Counter (OTC) derivative contracts. Moreover, CVA hedging has become a common risk management activity for many institutions, as market moves can have a considerable impact on CVA numbers and result in massive potential losses for firms.

In order to set up efficient hedges, however, traders and risk managers need to know the CVA sensitivities for the full portfolio. These calculations can be complex and time consuming, especially as the number of underlyings, positions, netting sets, and legal agreements increases. And most importantly, the CVA Greeks must be accurate, so appropriate hedges can be put in place to mitigate the risks. How can practitioners be sure their CVA Greek calculations are converging to the correct numbers, so they can be confident in their hedging activities?

On Wednesday, April 13th featured speaker Laure Darleguy Financial Engineer at Numerix, discussed the importance of accurate CVA Greeks and analyzed industry best practices and different methodologies for calculating first order CVA sensitivities (delta and vega) to ensure consistency and convergence.

Ms. Darleguy addressed the following:

  • Review of CVA basics
  • The importance of accurate CVA Greeks
  • The different methodologies commonly used in the market to calculate CVA Greeks
  • Case studies and convergence tests using the finite difference method

Attendance is complimentary, Registration is required. Space is limited, reserve your seat today!

Featured Speakers:

Laure DarleguyLaure Darleguy, Financial Engineer, Numerix
Laure Darleguy joined the Numerix Financial Engineering team in 2014, focusing on developing solutions to price vanilla and exotic derivative products, including market risk and valuation adjustment measures, using Numerix analytics. In addition, she performs consulting and professional service work for clients on bespoke solutions and training. Prior to joining Numerix, Ms. Darleguy specialized in new product creation and the pricing of exotic derivatives as a structurer on fixed income and foreign exchange desks for Societe Generale. During her tenure there she developed new payoffs to propose innovative solutions and widen product offerings to clients.

Ms. Darleguy holds a BSc in Mathematics from Pierre et Marie Curie University and an MSc in Finance from Paris Dauphine University.

James Jocle

Moderator: Moderator: Jim Jockle, Chief Marketing Officer, Numerix
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

 

If you experience any difficulties viewing or completing this form, please contact us for help.

numerix conference

Join us for NEXT 2020 - the Numerix User Conference

in the news - Aug 4, 2020

Numerix - Best Risk Management Solution: WatersTechnology Asia Awards 2020

product collateral

NxCore For XVA | Fact Sheet

in the news - Aug 21, 2020

WatersTechnology Asia Awards 2020 Winner's Interview: Erdem Özgül and Stephen Cheng, Numerix

newsletter issue - Aug 13, 2020

Thinking Derivatively – August 2020 Newsletter

news - article pdf - Aug 11, 2020

SRP Asia Awards 2020: Numerix Wins Best Pricing & Analytics Provider

white paper

White paper | The Current State of XVA Usage in Latin America

written blog

The End of LIBOR Is Getting Dangerously Close: Engage and Succeed with the Numerix LIBOR...

news - article pdf - Jul 20, 2020

Numerix - Data and Analytics Vendor of the Year : GlobalCapital’s Americas Derivatives Awards 2020

press release - Jun 15, 2020

Ted Pendleton Eyes Acquisitions and New Growth Initiatives as Numerix’s Latest Industry Hire

news - article pdf - Apr 24, 2020

Women in Technology and Data Awards 2020: Vendor professional of the year (trading and risk) |...

press release - Mar 10, 2020

Numerix’s Irina Slobodyanyuk Named WatersTechnology’s Vendor Professional of the Year for Trading...