XVA dynamics from a buy-side perspective: the latest strategies and insights

The panel

• Andrea Allegra, Financial engineer, Numerix
• Anastasios Hamosfakidis, Chief risk officer, Hydro Wind Energy
• Erik Vynckier, Interim chief executive, Foresters Friendly Society
• Moderator: Phil Harding, Commercial editor, Risk.net

In today's dynamic financial landscape, derivatives valuation adjustments – known collectively as XVAs – components (including credit valuation adjustments (CVAs), debit valuation adjustments and funding valuation adjustments) have once again gained prominence as crucial factors impacting the earnings of financial institutions. With interest rates surging and becoming increasingly volatile, alongside the widening of credit spreads, managing XVA is of paramount importance for sell-side participants, but is also becoming more relevant for buy-side firms.

This webinar explores key aspects of XVA from a buy-side perspective, shedding light on strategies to navigate this complex terrain and helping to reduce trading costs, ensuring access to liquidity from a wider panel of banks.

Key discussion points:

• How do buy-side firms generally view XVAs, and how do they impact their businesses?
• What component of derivatives pricing are XVAs today?
• Issues affecting the sell side and how they interconnect with the buy side
• How buy-side firms can optimise XVA-related costs
• The pros and cons of ‘dirty credit support annexes’ in mitigating liquidity risks on derivatives collateral while also assessing the impact on CVA charges.

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