Developing the future XVA desks for banks in APAC

In today’s complex and interconnected markets, both buy-side and sell-side firms need a powerful solution to monitor, assess and manage intraday and end-of-day risk. <br /> <br /> At this virtual roundtable, we will discuss the latest developments in XVA – the strategic, operational and modelling challenges of

In today’s complex and interconnected markets, both buy-side and sell-side firms need a powerful solution to monitor, assess and manage intraday and end-of-day risk.  

At this virtual roundtable, we will discuss the latest developments in XVA – the strategic, operational and modelling challenges of derivatives valuation in today’s environment. Through an interactive discussion, you will be able to benchmark with your peers on the progress in centralising XVA desks, and discover the latest approaches to analyse your trading and investment portfolio, and manage risk exposure.  

Fabio Mercurio

Head of Quant Analytics

Bloomberg L.P.

Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and market risk. Fabio is also adjunct professor at NYU. He has jointly authored the book "Interest rate models: theory and practice" and published extensively in books and international journals, including 20 cutting-edge articles in Risk Magazine.
Fabio is the recipient of the 2020 Risk quant of the year award.

Gerard Frewen

Global Head of XVA Products

Bloomberg L.P.

Gerard Frewen is the Global XVA product manager at Bloomberg L.P., managing the development of the firm’s MARS XVA Enterprise application. Prior to joining Bloomberg, Gerard was an Executive Director at Morgan Stanley, where he spent twelve years as a member of the Counterparty Portfolio Management trading desk, responsible for pricing and hedging XVA for the Interest Rate, Foreign Exchange and Credit businesses. Gerard holds a BE in Chemical Engineering and a MBS in Quantitative Finance from University College Dublin, Ireland.

Gaël Robert

Head of Global Risk Analytics

Mizuho

I am currently heading the Global Risk Analytics function at Mizuho.


I have started my career at Societe Generale's Economic Research Department focusing on the Eurozone. I have then worked on Counterparty Credit Risk modelling for Societe Generale, Deutsche Bank and Rabobank International in Paris, Tokyo, Hong Kong and London, putting in place centralised Monte Carlo frameworks, developing targeted solutions for wrong-way risk and non-vanilla transactions.


I hold a M.Sc. in Statistics & Economics from ParisTech ENSAE and a Master’s Degree from Sciences-Po Paris. I am a CQF and GARP FRM alumni.

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Rodney Hoskinson

Director, Quant Analyst, Strategic Trading and Funding

ANZ Global Markets

Rodney is a director and XVA quantitative analyst in the global markets business of ANZ Banking Group, and is based in Singapore. He co-ordinates the team working on XVA development for the Group's in-house Sky trading and risk management platform. Rodney has presented on XVA (including machine learning), interest rate modelling and credit modelling topics for all major international quant and risk conferences and was recently co-author of "XVA Analysis From the Balance Sheet" published in Quantitative Finance (Vol 21, 2021 - Issue 1) . Prior to joining ANZ in 2017, Rodney worked with the XVA desk at National Australia Bank in Sydney and also has experience as a director in financial services consulting with PwC Australia. He holds a PhD in Finance from EDHEC Business School (Singapore) and is a Fellow of the Actuaries Institute.

Discussion highlights:
  • How has covid-19 impacted counterparty risk exposure and XVA developments?
  • The progress on centralizing XVA desks in the APAC region
  • Revised SA-CVA model and impact on capital requirements – regulatory stance and market expectations
  • XVA modelling challenges: how to develop models that are more stable and able to react to the market volatility
  • How can XVA desks overcome challenges in price-in future capital costs to new transactions?
  • The applications of AI/ML in XVA calculations and the use of technology
Who should attend?

The event is designed for:

  • XVA Quant Specialists
  • XVA Desk Heads
  • Head of Trading
  • Head of Counterparty Risk / Model Validation

While audience participation isn't required, we want this online session to be as interactive as possible and encourage attendees to ask questions and make comments.

Register for this interactive roundtable

This interactive roundtable is reserved for senior level executives. You will be notified if your registration is successful.

While audience participation isn't required, we want this online session to be as interactive as possible and encourage attendees to ask questions and make comments. 

The event is held under Chatham House Rule to allow for an open discussion.