Risk.net | XVAs and Counterparty Credit Risk for an Energy Market in Crisis

In November 2022, Risk.net hosted a panel discussion with five industry experts where they discussed the complexities of valuation adjustments and counterparty credit risk modelling for firms grappling with the European energy market crisis.

Why Attend?

Learn how energy market experts are managing the complexities of valuation adjustments and counterparty credit risk modelling in the context of recent energy market volatility.


Europe’s current energy crisis, coming on the heels of global market volatility caused by the Covid-19 pandemic, has introduced additional complexities to valuation adjustments and counterparty credit risk modelling. Additionally, underdeveloped forward-curve modelling increases the challenges faced by quantitative and risk experts from banks and energy trading firms trying to capture counterparty credit risk, navigate a stressed market, and model and simulate energy markets.


On November 30, 2022, a panel of five industry experts engaged in a lively discussion on the following topics:

  • Challenges in modelling counterparty credit risk sources and mitigants that are unique to the physical trading business
  • Calibrating models to historical data, dealing with time-varying volatility in the absence of option-implied data
  • Grappling with directional-way risk in stressed markets
  • Portfolio-wide risk calculations and risk allocation, utilising tools from machine learning for performance and accuracy
  • Adapting techniques, frameworks and methodologies from other asset classes to commodities, such as from rates and foreign exchange spaces.


Featured Panelists:

  • Andrew McClelland, Director, Quantitative Research, Numerix
  • Anthony Badali, Trader, Volatility Quant Strategies, RBC Capital Markets
  • Andrew Green, Managing Director and Lead Global Fixed Income Quant, Scotiabank
  • Partha Sarathi Chatterjee, Data and Analytics, SME, Shell Energy Americas
  • Moderator: Karl Sees, Global Head of Product Strategy, CubeLogic

Want More from Numerix?

Subscribe to our mailing list to stay current on what we're doing and thinking at Numerix