Taking XVAs to the Next Level: Technology and XVAs State of Play

Front office transformation projects have been a top line priority across financial services institutions over the past several years and for good reason. The front office operating environment is a cross-section of overlapping monolithic technology systems, trading platforms and risk components that were built for a different era, and a prescriptive regulatory environment has fixed a spotlight on capital and cost management.

Central to this shift, is the family of trade valuation adjustments, collectively known as XVA. Stemming from accounting requirements for calculating credit valuation adjustments, the market has graduated to more sophisticated risk adjusted pricing for determining the cost of funding, capital and margin costs.

So, what’s the next level for XVAs?

To explore how banks have evolved over the past few years to incorporate the growing family of XVAs, Aite Group conducted a study based on conversations with heads or members of XVA trading desks, as well as pricing and risk management functions at regional and global banks. This webinar unveiled the key findings from that study. Our panelists provided their feedback and reaction.

Key topics and questions the panel addressed included:

  • Scope of study demographics
  • How will XVA use change in the coming years?
  • What will XVA desks of the future look like/how will they be organized?
  • What are the main challenges linked to the use of XVAs? How are firms overcoming these challenges?
  • For sophisticated XVA users, what new features/functions being used in today’s market?
  • Pros and cons of centralized XVA desks
  • New approaches to building an XVA technology solution



Featured Speakers:

Irina Slobodyanyuk, Risk Product Specialist, Numerix
Irina Slobodyanyuk is a Product Specialist with the Risk Product Management team. As a Product Manager for the XVA module on the Numerix Oneview software, she is responsible for designing strategic functionality for the Numerix OneView software. She also supports pre-sales as the subject matter expert for Risk. She earned dual Master of Science degrees from Hofstra University in Quantitative Finance and Finance with a Risk Management concentration. She is also an FRM certificate holder.

Audrey Costabile Blater, Senior Research Analyst, Aite Group
Audrey Blater, Ph.D., is a senior research analyst who supports Aite Group’s Institutional Securities & Investment group’s efforts, focusing on fixed income, foreign exchange, listed and OTC derivatives, and risk management research. Her work spans technological developments, industry trends, and market structure as well as the impact of financial regulations. Ms. Blater brings to Aite Group over 18 years of financial markets experience. Most recently, she served as the director of research for the International Swaps and Derivatives Association (ISDA). During her tenure at ISDA, she led the association’s research effort to communicate public policy goals and derivatives industry trends to ISDA’s membership, the regulatory community, and other stakeholders through public speaking engagements and written research, including thought leadership pieces, white papers, and commentaries. Ms. Blater was also a senior applied researcher for MSCI Inc., where she worked with sales professionals to engage clients and prospects through in-person meetings and written research related to multiple-asset-class market risk. She authored several papers focusing on enterprise risk management, stress testing, and expected shortfall, drawing from the market knowledge she gained as a fixed income analyst and trader working for AQR Capital Management, a Greenwich, Connecticut-based quantitative hedge fund. Ms. Blater holds an M.A. and a Ph.D. in Economics from Fordham University as well as a B.B.A. from Iona College. Her thesis, China’s New Millennium Financial Liberalization Programs: Economic Risks to the Chinese Retail Investor has been presented and discussed at multiple forums.

Paul Sinthunont, Analyst, Aite Group
Paul Sinthunont is an analyst at Aite Group, specializing in buy-side research. His focus is on portfolio systems, governance, risk, and compliance (GRC), portfolio risk management, performance measurement, index management, and client reporting. Before joining Aite Group, Mr. Sinthunont was a research consultant at CoreData Research, where he led the research efforts covering trends in both intermediary and institutional investor channels. This included producing market insight reports, white papers, and thought leadership on various themes, including portfolio risk management, manager selection, environmental, social, and governance (ESG) integration, alternative investments, and factor investing. Mr. Sinthunont holds a B.A. in Politics, Philosophy and Economics from the University of Manchester, an M.Sc in Economics from the University of Warwick, and an M.Sc in Public Policy from University College London. He is currently a candidate to complete Level III of the Chartered Financial Analyst program. He is fluent in both English and Thai.


JamesJockleModerator: James 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.


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on-demand webinar

Roundtable Discussion: The 'State of the State' of XVA Front-Office Risk Management