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XVAs and counterparty credit risk for energy markets: addressing the challenges and unravelling complexity

The Panel

  • Andy McClelland, Director, Quantitative Research, Numerix
  • Anthony Badali, Trader, Volatility Quant Strategies, RBC Capital Markets
  • Kai Pohl, Head of Risk, Centrica Energy Marketing & Trading
  • Partha Chatterjee, Data and Analytics, Small and Medium-sized Enterprises, Shell
  • Udesh Jha, Managing Director, Global Head, Clearing Operations, CME Group

Quantitative research into valuation adjustments – known as XVAs – and counterparty credit risk (CCR) modelling has advanced dramatically over the past decade, but little attention has been paid to energy markets compared to that paid to interest rate and foreign exchange markets. Forward curve modelling for energy products is particularly underdeveloped, despite its critical importance for XVA and CCR calculations.

In this webinar, a panel of quantitative researchers and risk practitioners from banks, energy firms and a software vendor discuss practical challenges in the modelling and risk management of XVAs and CCR in the energy markets, and how to overcome them.

Topics discussed:

  • Forward curve evolution – understanding its importance for XVAs and counterparty risk management
  • Energy curves – modelling complexities, including seasonal correlations along the curve
  • Accuracy versus computational costs – managing tradeoffs in generating thousands of exposure scenarios
  • Historical data – challenges in processing huge datasets for calibrations of model parameters
  • Practical perspectives on managing XVAs and counterparty risk in energy markets

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