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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.

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Libor telethon

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

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Automating data-driven risk management – everything you need to know!

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.

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Measuring climate risk: what’s possible now

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…

Next-generation ESG derivatives

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…

Establishing an effective conduct risk framework

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…

Navigating UMR phases five and six

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

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