Roundtable Discussion: The 'State of the State' of XVA Front-Office Risk Management
Webinar 6/13 | Numerix leadership, together with XVA consulting expert James Sehgal of Invicta, debated their perspectives on the hot button issues driving XVA adoption today.
For both the sell-side and buy-side, the key to XVA is to understand how the pricing of derivatives costs are being transferred, however, the measurement, management and optimization of XVA is challenging to define and operationalize. Although XVA has been widely discussed over the past five years, the mandate has shifted to no longer only be about revenue generation, but also revenue preservation.
On June 13th, Numerix hosted a live roundtable discussion to debate the hot button issues driving XVA adoption today. Numerix leadership together with XVA consulting expert, James Sehgal of Invicta debated their perspectives on the following topics:
- The new factors driving XVA adoption today
- How XVA has transformed
- Roadblocks to managing and optimizing XVA costs
- Hedging XVA – is it necessary, or even possible?
- The XVA desk: essential, or not necessarily?
WHY WATCH:
- Walk away with a modern take on how and why XVAs are being used today.
- Be empowered to ask the right questions about how your trading operation is calculating, understanding and using XVAs.
- Learn why the choice to ignore XVAs is no longer an option.
Moderator:
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.
Featured Speakers
James Sehgal
James is specialised in XVA Portfolio Management, Risk Management (Market and Credit), Basel III Regulation, IFRS 9, Capital Optimisation, Documentation, Risk Policy & Control and Governance. James has been working in the financial services industry for almost 19 years across 3 continents. He has gained a diverse set of experiences in front office portfolio management desk head, Risk Control & Policy, Regulation Strategy at leading, UK, Dutch and Canadian financial institutions. In his last role, he was working for a UK global bank, where he was Managing Director and Asia Pacific Head of XVA for more than 5 years. Prior to that, he was based in London, and North America where he has held senior roles in, CVA, Market Risk and portfolio management. He is also co-author of PRMIA Handbook on Counterparty Risk & CVA.
Andrew McClelland, Ph.D.
Andrew McClelland’s quantitative research at Numerix focuses on XVA pricing and hedging, generating counterparty credit risk metrics for structured products, and estimating risk model parameters via time-series estimation. He earned his PhD in finance at the Queensland University of Technology for a thesis on financial econometrics. He considered markets exhibiting crash feedback, option pricing for such markets, and parameter estimation for such markets using particle filtering methods. Dr. McClelland’s work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.
Satyam Kancharla
Satyam, as Executive Vice President Chief Product Officer, 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 served in various roles in Quantitative Software Development, Financial Engineering and Client Services at Numerix. Before transferring to Numerix in New York City, Satyam 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, Satyam 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 Master of Science degree in Applied Statistics and Informatics from Indian Institute of Technology, Bombay and a Bachelor of Science in Mathematics and Computers from the University of Mumbai.
