XVAs and Counterparty Credit Risk for Energy Markets – Addressing the Challenges and Unravelling Complexity
Quantitative research into XVAs and counterparty credit risk (CCR) modeling has advanced dramatically over the last decade, but little attention has been applied to energy markets compared to interest rate and FX markets. Forward curve modeling for energy products is particularly underdeveloped despite its critical importance for XVA and CCR calculations.
This panel of quantitative researchers and risk practitioners from banks, energy firms, and a software vendor will discuss the many practical challenges they’ve encountered in the modeling and risk management of XVAs/CCR in the energy markets, and how to overcome them.
- Forward curve evolution – understanding its importance for XVAs and counterparty risk management
- Energy curves – modeling their complexities, including seasonal correlations along the curve
- Accuracy vs. computational costs – managing tradeoffs in generating thousands of exposure scenarios
- Historical data – challenges in processing huge data sets for calibrations of model parameters
- Practical perspectives on managing XVAs and counterparty risk in energy markets
Join us on December 1st to learn more about this cutting-edge topic for the energy markets.
The end of 2021 will bring the demise of Libor and finally it will be revealed if rates markets are ready.
While five US dollar Libor fixings will remain in place until June 2023, regulators insist that no new Libor risk should be traded after the end of 2021. The implications for products with floating rates beyond the Libor phase-out are huge.
There is still a lot to do, and predicting the Libor story’s closing chapter is not easy.
From September to December Risk.net’s editorial team are hosting monthly 45-60 minute Libor countdown ‘clinics’ and speaking to those in the know about what’s left to do, who’s ahead, what they’ve done and how they’ve done it. The audience have the chance to put their questions to the experts, too
Data is the foundation of risk management and compliance. and financial Institutions (FIs) are increasingly analysing data from multiple sources to identify and mitigate risk in their operations. However, data has not always been well utilized due to the challenges associated with common data management. In recent years, this has been exacerbated by the growing volume and speed of transactions of our digital era. Automating data-driven risk management may help FIs identify problems before they occur, and serve as an important tool in your risk management strategy.
In this webinar, we will discuss the benefits of data-driven risk management, hear how automation technologies such as AI and ML can bolster your risk management strategy and share best practice and lessons learned.Read more Sign up to the webinar
New technologies such as artificial intelligence (AI) and machine learning promise much in the battle against financial crime, but where are these solutions best deployed? A panel of anti-money laundering and analytics professionals convened for a Risk…
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This webinar examines what firms are doing to modernise their IT systems to get better control on their risk measures and key performance indicators across their physical and financial businesses.
Moving from basic risk management to real resilience is a critical capability organisations must strive to attain. Teams are seeking to quickly mature resilience as businesses, countries and economies reopen (and, in some cases, close again) in the wake…
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Governmental and societal pressure on banks and asset managers to help manage climate risk and disclose progress toward a sustainable future is high. Institutions are working to quantify the impact of climate change on their balance sheets and want to…
Amid increasing concern for the future of the planet, the demand for environmental, social and governance (ESG) factors has grown significantly. As such, global investors are looking for tools to support the development of sustainable portfolios. ESG…
The stakes have never been higher when it comes to conduct risk. Regulators now look to hold senior managers personally liable for the misconduct of their employee populations and, with teams more globally dispersed, managing conduct and culture is more…
Digitalisation – already a key agenda item for energy firms – has become an even bigger priority as firms transition to low-carbon businesses. However, the benefits of digitalisation are accompanied by a huge rise in cyber risk.
An online webinar hosted by Tradeweb and convened by Asia Risk explores the importance of directives and timings being clearly laid out by regulators in the transition away from Libor
As organisations increasingly rely on models that cover a wide range of business functions, there is an increasing need to create and maintain a comprehensive model inventory for enhanced collaboration and regulatory compliance across multiple regions…
Addressing privacy concerns is not a new topic for data and analytics, but with the explosion of regulations and growing consumer concern around how data can and cannot be used, addressing compliance requirements is more important than ever
This webinar explores how to build resilience across an organisation, discussing actions and measures companies are currently taking to become more agile, adaptable and able to future-proof their business growth
This webinar explores best practices in response to regulatory policy and supervisory guidance, offering practical approaches to achieve a mature and robust operational resilience programme
As awareness grows of the complexities ahead, a panel discusses best practice, their recent experiences and the challenges in-scope firms face as they prepare to meet UMR
Adverse weather in February stressed the Texas power grid to the point of failure, leaving millions without power and resulting in many firms filing for bankruptcy. While this event had some unique circumstances, extreme events are becoming more frequent
Over the past two years, robotic process automation (RPA) has taken the energy industry by storm. As organisations are forced to do more with less, tools that allow companies to gain efficiencies, reduce cost and improve performance are critical
Even prior to the Covid-19 pandemic, insider threats were reported to be increasing with 48% of firms indicating that incidents were on the rise within their organisations. Where are so many firms going astray?
This webinar explores how capital markets participants revised their market risk management practices during the height of Covid-19 pandemic-induced market volatility and what this means for the future
In a Risk.net webinar convened in association with Eurex, panellists discuss the rising demand for and their own experiences of using and developing ESG derivatives, their views on future developments and the challenges of growing the market
The fast-evolving ESG derivatives market, how these products are helping investment strategies and expectations for market development.