XVA management: a comprehensive overview

Ravi has over 20 years of experience and was the Managing Director at Citigroup. He has been responsible for Global Markets portfolio risk metrics, e.g., risk appetite and limit setting, stress testing/CCAR, model risk, valuation and profit attribution risk, across every asset class, and with significant regulator interaction. Ravi has very detailed knowledge from various roles including as Market Risk Manager for credit value adjustment (XVA), exotic and emerging market FX, interest rate and credit derivatives, and previously as Co-Head of Convergence Risk group (covering derivative products and underlying asset classes combining market and credit risk). He also has extensive derivatives product knowledge and business focus gained while front office desk head structuring and selling exotic FX, interest rates and occasionally commodity products. 

Connor has over 16 years of experience and is currently the Head of XVA, derivative capital and collateral management at Lloyds Banking Group. In his role, he leads his team in managing the credit/funding risks in the bank’s derivative profile, develops pricing and risk management methodologies and optimises existing and exisiting collateral agreements. He has also held roles such as head of portfolio management and director of ring fenced bank traded products. 

Stamatoula has long term experience and expertise in risk modelling, regulation, and XVAs, which she gained through comprehensive reviews and enhancements of risk frameworks with major global banks, including ECB, Deutsche Bank, Morgan Stanley, JP Morgan, UK Financial Services Authority and Standard Chartered Bank. She has extensive experience many many area of regulation and risk management including XVA, counterparty credit risk modelling, ICAAP, IFRS9, CCAR submission and model risk management.  
She is director and founder of Euclides Risk Solutions, which aims to enhance financial stability through rigorous quantitative analytics and modeling, ensuring compliance with evolving regulatory standards. 

Osamu has over 20 years of experience and is currently working as a quantitative analyst focusing on interest rate and hybrid derivatives modelling. He has developed a variety of pricing models including an XVA model based on cross currency Hull-White model, IBOR transition and SABR LMM with time dependent skew and smile. His specialties are XVA, interest rate derivatives modelling, machine learning techniques in derivatives valuation. and more. 

Nikolai works with some of the largest investment banks in the world to develop and validate financial models that quantify risks in their derivative books. Core topics include valuation, counterparty credit risk (CCR), exposure simulation (EAD), collateral modeling, initial margin, ISDA SIMM and XVAs. 
He likes to combine classical quant finance models such as Black-Scholes, Heston, SABR with novel data science and machine learning techniques such as Artificial Neural Networks (ANN), Multilayer Perceptrons (MLP), Long-Term-Short-Term-Memory Networks (LSTM), Anomaly Detection or Gaussian Process Regression. As this is a fast evolving field, Nikolai likes to build bridges between academia and business. His favorite programming languages are Python, C# and C++.