XVA desks may be standard – their tech and mandates aren’t
A decade into centralised management of XVAs, Risk Benchmarking data finds divergent approaches to pricing, methodologies and tech stacks
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It’s not hyperbole to say that, in derivatives pricing, the world was turned on its head in the years after the subprime crisis. Traders at some banks had long been aware that prices ought to be adjusted to reflect the danger of a counterparty collapsing, or the funding costs and benefits that arise in collateralised portfolios – but it took the crisis, and the layers of new rules that followed
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