As the XVA valuation framework continues to evolve, today’s derivatives practitioners are facing complicated, computational challenges as they work to achieve their end goal – profitability.
In this DerivSource podcast, we speak to Satyam Kancharla, chief strategy officer and senior vice president at Numerix about this risk management model for pricing adjustments. We talk about this model in some detail, its role in derivatives risk management and of course some of the challenges that market practitioners face as they utilise XVA. Additionally, we discuss very briefly some trends impacting other pricing models such as MVA and KVA.
Tune in to hear the audio interview or read the transcript below.
