XVAs and Counterparty Credit Risk for Energy Markets – Addressing the Challenges and Unravelling Complexity

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.

  • Forward curve evolution – understanding its importance for XVAs and counterparty risk management
  • Energy curves – modeling their complexities, including seasonal correlations along the curve
  • Accuracy vs. computational costs – managing tradeoffs in generating thousands of exposure scenarios
  • Historical data – challenges in processing huge data sets for calibrations of model parameters
  • Practical perspectives on managing XVAs and counterparty risk in energy markets

Watch on-demand to learn more about this cutting-edge topic for the energy markets.


Andy McClelland, Director of Quantitative Research, Numerix


Anthony Badali, Trader, Volatility Quant Strategies, RBC Capital Markets


Kai Pohl, Head of Risk, Centrica Energy Marketing & Trading


Partha Chatterjee, Data and Analytics SME, Shell


Udesh Jha, Managing Director, Global Head of Clearing Operations, CME Group



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