Quantitative research into XVAs and counterparty credit risk (CCR) modeling has advanced dramatically over the last decade, but little attention has been applied to energy markets compared to interest rate and FX markets. Forward curve modeling for energy products is particularly underdeveloped despite its critical importance for XVA and CCR calculations.
This panel of quantitative researchers and risk practitioners from banks, energy firms, and a software vendor discuss the many practical challenges they’ve encountered in the modeling and risk management of XVAs/CCR in the energy markets, and how to overcome them.
Watch on-demand to learn more about this cutting-edge topic for the energy markets.
Speakers:
Andy McClelland, Director of Quantitative Research
Anthony Badali, Trader, Volatility Quant Strategies, RBC Capital Markets
Kai Pohl, Head of Risk
Partha Chatterjee, Data and Analytics SME
Udesh Jha, Managing Director, Global Head of Clearing Operations