Making the Most of XVA: Practitioner Perspectives
IACPM/Fintegral 2018 Study
IACPM in conjunction with Fintegral, a specialist consultancy, conducted a benchmarking survey with focus on evolving organizational structures around XVA desks. This topic received a lot of interest at past IACPM Counterparty Roundtable discussions and hasn’t been explored in detail by any other industry studies thus far.
Rationale: The concept of counterparty credit risk as a risk factor relevant to derivative financial instruments and the related practices of transaction pricing, valuation for financial reporting purposes, and capital requirements have continued to evolve over the past decade. As the concept evolved, XVA desk organizational structures had to continue to adapt quickly.
Study outputs include a high level published report summarizing survey findings as well as a detailed benchmarking report which is available to survey participants only. Survey participants had the chance to discuss results at the IACPM Counterparty Roundtable in March in London and an IACPM webinar on the topic in April.
Please access the full White Paper here:
Making the Most of XVA: Practitioner Perspectives >