WBS Fixed Income Conference 2014, Barcelona

At the 10th Fixed Income Conference Alexander Sokol, CompatibL’s CEO and Head of Quant Research, will speak on Modelling XVA and Regulatory Capital with Mean Reversion Skew and Market Price of Risk.

The main points and arguments of the upcoming presentation are:

  • The levels of XVA and regulatory capital depend on the quality of long term projections in risk neutral (XVA) and real world (capital) measures.
  • A simple and practical calibration of the market price of risk and mean reversion skew to the historical rate levels and spreads between interest rates of different maturity is proposed.
  • Mean reversion skew also improves the accuracy of FX projections which are influenced by the unrealistic interest rate differential.
  • Introducing mean reversion skew is shown to significantly improve backtest accuracy, and to reduce XVA and regulatory capital requirements for several benchmark portfolios.

When: 10.50 Friday 26th September, 2014 - main conference day two

Where: Hotel Condes de Barcelona, Passeig de Gràcia, 73-75 08008 Barcelona, Spain

More Information: WBS