The xVA Transformation: Market Perspectives and Best Practices

xVA has been a part of the derivatives conversation in trading desks, risk committees, accounting groups and board meetings for several years now. A lot has been written and discussed about the topic. In spite of this – or perhaps because of it – confusion persists within the community. What XVAs are material? For whom? Under what market conditions? What collateral rules? Which regulatory regimes? These questions remain unclear – to say the least.

On October 12th Numerix Chief Strategy Officer and Senior Vice President of Client Solutions Satyam Kancharla broke down these different perspectives, and showed how one can navigate the maze of xVAs and construct an xVA transformation plan that addresses your organization’s needs. We looked at materiality from a quantitative perspective through concrete examples and discussed how xVAs are evolving. Finally, we discussed best practices to keep in mind while putting an xVA program in place.

Mr. Kancharla addressed the following:

  • Defining the xVA Landscape
  • Evolving Perspectives on xVA
    • Desk, Valuation, Risk, Treasury, Accounting, Issuers, Buy-side (incl. best-ex)
  • xVA Case Study –
    • Trade Characteristics
    • Market Vols
    • Netting/Collateral
    • Capital Regime
  • General Patterns
  • Market Consensus and Divergence
  • Best Practices in Implementation
  • Conclusions
  • Key Takeaways

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

Featured Speaker:

Satyam KancharlaSatyam Kancharla, Chief Strategy Officer and Senior Vice President of Client Services, Numerix
Mr. Kancharla, as Chief Strategy Officer and Senior Vice President, is responsible for corporate strategy and currently heads the Client Solutions Group at Numerix. This group is responsible for Product Management, Financial Engineering and Business Analysis.

Prior to this, he has served in various roles in Quantitative Software Development, Financial Engineering and Client Services at Numerix. Before transferring to Numerix in New York City, he was the CTO for Numerix Japan LLC in Tokyo, heading the Pre-Sales and Financial Engineering teams for Asia. Prior to joining Numerix in 2003, Mr. Kancharla also worked with Merrill Lynch and GE Capital in Quantitative Finance and Product Development roles.

He holds an MBA degree from New York University’s Stern School of Business, an MSc degree in Applied Statistics and Informatics from Indian Institute of Technology, Bombay and a BSc in Mathematics and Computers from the University of Mumbai.

JamesJockleModerator: Cristin Riffle-Lash,VP Marketing, Numerix
Mrs. Riffle-Lash has lead the Numerix webinar and thought leadership programs since 2012 and currently serves as VP of Integrated Marketing. Through these programs, she works closely with global Numerix experts, clients and partners to breakdown industry challenges, elevate strategies, disseminate industry-leading research, and shine a light on break-through solutions and innovations.

Prior to joining Numerix, she worked with finance and capital markets luminaries at Wiley heading up marketing for their professional finance and trading category. Mrs. Riffle-Lash has more than 10 years of experience across financial services and B2B marketing. She holds Bachelor of Science degrees in Magazine Journalism and Psychology from the University of Florida.

 

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