Taking XVAs to the Next Level: Technology and XVAs State of Play
In this webinar, Numerix explored how banks have evolved over the past few years to incorporate the growing family of XVAs. The discussion centered around an Aite Group study based on conversations with heads or members of XVA trading desks, as well as pricing and risk management functions at regional and global banks.
Front office transformation projects have been a top line priority across financial services institutions over the past several years and for good reason. The front office operating environment is a cross-section of overlapping monolithic technology systems, trading platforms and risk components that were built for a different era, and a prescriptive regulatory environment has fixed a spotlight on capital and cost management.
Central to this shift, is the family of trade valuation adjustments, collectively known as XVA. Stemming from accounting requirements for calculating credit valuation adjustments, the market has graduated to more sophisticated risk adjusted pricing for determining the cost of funding, capital and margin costs.
So, what’s the next level for XVAs?
To explore how banks have evolved over the past few years to incorporate the growing family of XVAs, Aite Group conducted a study based on conversations with heads or members of XVA trading desks, as well as pricing and risk management functions at regional and global banks. This webinar unveiled the key findings from that study. Our panelists provided their feedback and reaction.
Key topics and questions the panel addressed included:
- Scope of study demographics
- How will XVA use change in the coming years?
- What will XVA desks of the future look like/how will they be organized?
- What are the main challenges linked to the use of XVAs? How are firms overcoming these challenges?
- For sophisticated XVA users, what new features/functions being used in today’s market?
- Pros and cons of centralized XVA desks
- New approaches to building an XVA technology solution
Moderator:
James Jockle, Chief Marketing Officer, Numerix
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing. Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.
Featured Speakers
Irina Slobodyanyuk
Irina Slobodyanyuk is a Product Specialist with the Risk Product Management team. As a Product Manager for the XVA module on the Numerix Oneview software, she is responsible for designing strategic functionality for the Numerix OneView software. She also supports pre-sales as the subject matter expert for Risk. She earned dual Master of Science degrees from Hofstra University in Quantitative Finance and Finance with a Risk Management concentration. She is also an FRM certificate holder.
Audrey Blater
Audrey Blater is a senior analyst in the Market Structure and Technology team at Coalition Greenwich. She has over 20 years of capital markets experience spanning trading, data analysis, regulation, policy, and industry research. Her areas of expertise include fixed income, foreign exchange, and derivatives trading, analytics, and market structure; risk management and regulatory practices and solutions; and advanced technology applications and trends in those areas.
Prior to joining Coalition Greenwich, Audrey spent time as the research director of Aite-Novarica Group’s capital markets team. Before her tenure at Aite-Novarica Group, she developed and led a global research team at the International Swaps and Derivatives Association (ISDA). Audrey has experience in enterprise risk solutions and practices, having served as an applied researcher at MSCI, Inc. She also spent several years on the buy side as a trader and analyst at AQR Capital Management.
Audrey has authored a variety of industry thought leadership papers, blogs and commentaries. She has spoken at numerous capital markets and technology events and has served as a derivatives expert during the development of the Markets in Financial Instruments Directive (MiFID II), as well as several other critical financial regulatory initiatives. Most recently, she has focused on Libor’s transition to alternative references rates.
Ms. Blater holds a master’s degree and PhD from Fordham University in international economics and banking.
Paul Sinthunont
Paul Sinthunont is an analyst at Aite Group, specializing in buy-side research. His focus is on portfolio systems, governance, risk, and compliance (GRC), portfolio risk management, performance measurement, index management, and client reporting. Before joining Aite Group, Mr. Sinthunont was a research consultant at CoreData Research, where he led the research efforts covering trends in both intermediary and institutional investor channels. This included producing market insight reports, white papers, and thought leadership on various themes, including portfolio risk management, manager selection, environmental, social, and governance (ESG) integration, alternative investments, and factor investing. Mr. Sinthunont holds a B.A. in Politics, Philosophy and Economics from the University of Manchester, an M.Sc in Economics from the University of Warwick, and an M.Sc in Public Policy from University College London. He is currently a candidate to complete Level III of the Chartered Financial Analyst program. He is fluent in both English and Thai.
