On-demand webinar | New developments in XVA: an inside view on bank strategy in a changing world
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Recent banking failures and market events have exposed the impact of derivatives valuation adjustments (XVAs) on banks' earnings in the face of market volatility. Regulatory capital remains a persistent challenge, with the idiosyncrasies of FRTB adding to the complexity.
This on-demand webinar - hosted by Risk.net - explores banks' strategies for optimising capital efficiency, shedding light on how banks are adapting to changing regulation, how they minimise the impact of market volatility on capital requirements, and how customers are future-proofing portfolios.
The session explores:
- The impact of bank failures on the XVA desk: hedging under volatile credit spreads
- Emergence of dirty CSAs: managing collateral shifts as banks depart from clean CSAs
- Challenges of FRTB SA-CVA hedge recognition: exemption of FVA hedges, sub-optimal credit index hedging
- The evolving role of MVA and KVA in derivatives pricing
Panelists:
- Allan Cowan, Global head of financial engineering, Financial risk analytics, S&P Global Market Intelligence
- Victor Mofokeng, Head: Long term credit portfolio trading, Absa Group
- Connor Campbell-Coleman, Head of XVA and derivative optimisation, Group Balance sheet management, Lloyds Bank - Group corporate treasury
- Florent Kpodjedo, Director, Banque Nationale du Canada
- Phil Harding, moderator, Global head of commercial content, Risk.net
This
webinar is essential viewing for risk managers and heads of XVA
desks in banks and those involved in derivatives valuation, data
and technology.
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