Annual Derivative Pricing and XVA Forum 2017

Maximise your derivative pricing to maintain competitiveness among the rising cost of funding

XVA Management has heavily advanced in recent years, as institutions get to grips with all the requirements that need incorporating into derivative pricing. However, the new bilateral margin requirements and other regulations not only need incorporating themselves, but have increased the cost of collateral, requiring further KVA and MVA adjustments to be incorporated into derivative pricing. Institutions now need to advance their XVA strategies to ensure they understand the latest requirements, and are able to incorporate them into their pricing strategies, to maintain competitiveness while meeting their internal costs.