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

Download Report

Complete the form below to download this complimentary Report.

Select Form: 

Form #3: Analyst Report

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
on-demand webinar

On-Demand Solution Webinar | NxCore for XVA: An Advanced XVA Engine & Quant Sandbox

on-demand webinar

Risk.net On-Demand Webinar | XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and...

conference, industry conference

Fixed Income Leaders 2023

conference, industry conference

WBS 19th Quantitative Finance Conference (QFC)

conference, industry conference

Fixed Income Leader Summit

conference

Risk Japan 2023

conference

Risk ASEAN 2020

newsletter issue - Mar 14, 2023

Thinking Derivatively – March 2023 Newsletter

white paper

White paper | Six Themes that Characterize Trading in the Energy Markets Today

on-demand webinar

Risk.net On-Demand Webinar | XVAs and Counterparty Credit Risk for an Energy Market in Crisis

newsletter issue - Jan 17, 2023

Thinking Derivatively – January 2023 Newsletter

newsletter issue - Dec 13, 2022

Thinking Derivatively – December 2022 Newsletter