XVAs and counterparty credit risk for an energy market in crisis

The panel

• Andy McClelland, Director, quantitative research, Numerix
• Anthony Badali, Trader, volatility quant strategies, RBC Capital Markets
• Andrew Green, Managing director and lead global fixed income quant, Scotiabank
• Partha Sarathi Chatterjee, Data and analytics, SME, Shell Energy Americas
• Moderated by: Karl Sees, Global head of product strategy, CubeLogic

Europe’s current energy crisis, coming on the heels of global market volatility caused by the Covid-19 pandemic, has introduced additional complexities to valuation adjustments and counterparty credit risk modelling. Additionally, underdeveloped forward-curve modelling increases the challenges faced by quantitative and risk experts from banks and energy trading firms trying to capture counterparty credit risk, navigate a stressed market, and model and simulate energy markets.

Key topics discussed:

• Challenges in modelling counterparty credit risk sources and mitigants that are unique to the physical trading business
• Calibrating models to historical data, dealing with time-varying volatility in the absence of option-implied data
• Grappling with directional-way risk in stressed markets
• Portfolio-wide risk calculations and risk allocation, utilising tools from machine learning for performance and accuracy
• Adapting techniques, frameworks and methodologies from other asset classes to commodities, such as from rates and foreign exchange spaces.

 

Sponsored content