triCalculate’s co-CEO Martin Engblom recently sat down with valuation adjustment (XVA) expert Jon Gregory for an hour-long discussion on the current state of play for XVAs. Their discussion provides professional insight and illumination on such topics as credit valuation adjustment (CVA), margin valuation adjustment (MVA), funding valuation adjustment (FVA), capital valuation adjustment (KVA), the Fundamental Review of the Trading Book (FRTB), optimisation, regulatory capital, thoughts on where XVAs are headed next, and much more. Here is a brief excerpt from their conversation, with the full discussion available on request.
- 0:04 CVA
- 0:31 FRTB
- 0:46 MVA
- 2:00 FVA and margin
- 2:32 Central counterparty MVA