ELTE RiskLab

Diversity of Financial Risk 2024

29 November, 2024
ELTE TTK, Budapest

Speaker's bio

VL_1 Cropped
Lajos
Vágó
(Citi)
Challenges of building an XVA engine
XVA and in particular CVA (Credit Valuation Adjustment) has an invaluable literature, with various methodologies suitable for the different needs of the user. However, in a real-life situation, when implementing a solution in an existing pricing library, one has to face a few additional challenges related to design, data, legal agreements and has to meet regulatory requirements as well.