webinar

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

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