triCalculate and Jon Gregory, independent counterparty risk expert, discuss the current state of play for XVA
triCalculate’s co-CEO Martin Engblom recently sat down with XVA Expert Jon Gregory for a one-hour discussion on the current state of play for XVA. Their adept discussion provides professional insight and illumination on such topics as CVA, FRTB, MVA, FVA, the concept of optimisation, regulatory capital, KVA, thoughts on where XVA’s are headed next, and much more.
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0:38 CVA – What is the current best practice?
6:12 Wrong Way Risk/Cross Gamma/Correlation
9:46 Tractability vs. Accuracy
13:10 What is driving adoption of CVA in the market?
48:12 CCP MVA
1:01:09 VA Summary
1:03:47 Wrap Up