Webinar

Managing xva in a Volatile Market

Recent volatility in interest rate markets, the growing uncertainty of default for specific sectors/names, and the introduction of the mandatory uncleared margin rules have once again increased market focus on CVA and XVA.

These market events—along with recent changes in market structure driven by LIBOR transition—demand enhancements in how counterparty credit risk is priced and managed.

This is a replay session for an in person discussion in Bloomberg Hong Kong office.

Speakers

Gerard Frewen

Global Head of XVA Products

Bloomberg

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.

Jack Zhou

Financial Engineering and Risk Product Manager

Bloomberg

Jack Zhou manages the MARS API product, which enables customers to programmatically access to Bloomberg's multi-asset pricing and risk engine. Prior to this role at Bloomberg, Jack headed the Financial Engineering Valuation Services globally. His responsibilities include BVAL Derivatives pricing and volatility data calculations. Jack joined Bloomberg in 2009. Previously he was a quantitative analyst at Royal Bank of Canada, and a senior structurer at Deutsche Bank Securities' equity derivative trading desk. He holds a master of Mathematical Finance degree from University of Waterloo.

Jacy He

Derivatives/Risk Solutions Specialist

Bloomberg

Louis Ng

Risk and Valuation Specialist

Bloomberg

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