The conundrum of XVA is that it seems to have no end game. Over recent years, we have seeing a steady output of new challenges and questions surrounding derivatives valuation adjustments, and it hasn’t stopped. Currently, U.S. and European regulators are reviewing banking regulations with intents to potentially abandon some, amend others, and impose new ones. This is just adding to the complexity and hard-to-predict journey of XVA.
In its July 2017 Special Report, Risk Magazine addresses some of the key XVA-related issues and developments affecting the derivatives market. Topics include, among others, the controversy over Europe’s capital exemption for CVA; how XVA and other post-crisis factors have influenced the specific skills employers look for in quants; and a proposal for a consistent framework to develop and backtest forecasting models for initial margin.
Amid the reports highlights, Numerix’s Dennis Sadak, Senior Vice President and Head of Risk, is featured as a Q&A panelist where he shares his expert views on XVA challenges and how technological developments look to address some of them.
The report includes the following articles:
- Quants head for the shop floor, Louie Woodall, Risk.net
- Article 104: A looming headache for corporates, Catherine Contiguglia and Nazneen Sherif, Risk.net
- Q&A: XVA reaches far and wide, Featuring Numerix SVP, Dennis Sadak
- Cutting Edge Article: A sound modelling and backtesting framework for forecasting initial margin requirements
