Why Attend?

Learn how derivative businesses can incorporate XVAs into pre-trade prices and make more profitable trading decisions.


Sell-side derivative businesses have been forced to change radically over the last 10 years. From complying with complex regulations, to adapting to major market structure changes, to figuring out how to optimize capital, collateral, and funding while managing risk and remaining profitable, all while fending off competitors, retaining clients, and fighting for market share – it’s been a crazy ride.

One consequence of all these changes is the addition of valuation adjustments (XVAs) into dealers’ derivative prices, to incorporate counterparty risk, funding costs and other costs into the prices to ensure they are beingfairly compensated for the costs and risks they bear. Most recently, as stricter margining regulations come into force and banks adopt the Standard Initial Margin Model (SIMM) for non-cleared derivatives, banks must deal with margining, but many are struggling to do so.

Why are banks finding SIMM and especially Margin Valuation Adjustments (MVA) so challenging to deal with? How can banks assess all of the XVAs – which are notoriously “expensive” to calculate due to the huge number of simulations required – BEFORE they transact a trade, to ensure they are executing at a profitable price while fully understanding the risk and cost implications of the trade?

Many banks are turning to Numerix for help with these challenges. As an early thought leader and technology disruptor in the XVA space, Numerix introduced its Oneview solution to help banks perform pre-deal XVA checks as well as conduct the margining calculations needed to thrive in the new world of derivatives.

JOIN FRANCK ROSSI AS HE DISCUSSES:

  • The rise of XVAs & the necessity for accurate pre-deal XVA checks
  • Adding margining and SIMM into the picture
  • Introduction to Oneview for XVA management
  • Live demo of Oneview in action

 

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

 

Featured Speakers:

Franck Rossi, Director, Product Management, NumerixFranck Rossi, Director, Product Management, Numerix
Franck Rossi is a Director of Product Management at Numerix, responsible for product strategy and thought leadership related to banking and derivatives regulations. He also works with clients to understand and document their requirements so Numerix can develop the required functionality into its software.
 
Prior to joining Numerix, Mr. Rossi worked at Thomson Reuters in Product Management in Regulations, Analytics and Structured Products, and at HSBC in Interest Rate Structured Products. He holds an MSc in Finance and Mathematics from Paris-Dauphine University.
 

GregMurrayModerator: Greg Murray, Vice President Product & Field Marketing, Numerix
Greg Murray oversees product and field marketing initiatives at Numerix, focusing on go-to-market strategies and marketing of Numerix’s derivative pricing and risk analytics. Prior to his current role, Mr. Murray worked in derivative analytics sales roles at Numerix and at other software firms. He also held derivative trading positions for seven years as an option market-maker and proprietary trader across a variety of asset classes.

 

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