Derivatives XVAs: Challenges & Opportunities for the Buy Side
Structural changes in the OTC derivatives markets have created the need to move towards more comprehensive risk and cost-based pricing models which incorporate counterparty risk, funding costs and regulatory capital costs into derivatives prices. These pricing adjustments are collectively known as XVAs (X Valuation Adjustments).
This change of paradigm has been embraced by the sell side over the last 10+ years, but it has not yet been fully adopted by buy side firms for a variety of reasons.
Join Andrea Allegra of Numerix as he discusses how XVAs pose both challenges and opportunities for practitioners at buy side firms.
Andrea covers:
- What are XVAs, and why is it important for buy side firms to compute them
- Similarities and differences between the buy side and sell side
- Challenges: people, technology, and data perspectives
- Recent changes: impacts and consequences
Featured Speakers
Andrea Allegra is Vice President of Financial Engineering at Numerix, where he leads efforts in delivering pricing, market risk, and counterparty risk solutions for clients. His role involves designing and implementing solutions for financial institutions, focusing on risk analysis and valuation, as well as collaborating with clients in product demonstrations and workshops.
Previously, he was a Financial Engineer at Algorithmics, now part of SS&C, specializing in financial risk analytics and modeling.
Andrea's academic qualifications include a Financial Engineering Certificate from Columbia University, and a Postgraduate Degree in Finance from CORIPE-University of Turin. Prior to that, he completed a Bachelor’s Degree in Mechanical Engineering and a Master’s Degree in Industrial Engineering from the University of Genoa. He also holds a Financial Risk Manager (FRM) certification from the Global Association of Risk Professionals (GARP).
Greg Murray
Greg Murray is responsible for increasing awareness of the Numerix brand in financial markets around the globe, as well as conducting strategic industry research for different departments within Numerix. Previously, he oversaw product and field marketing initiatives at the company, and he started his tenure in a sales role. Prior to Numerix, Mr. Murray worked in derivative analytics sales roles at other software firms, and he held derivative trading positions for seven years as an option market-maker and proprietary trader across a variety of asset classes.
