Summary
At the intersection of credit and market risk, counterparty credit risk (CCR) and related valuation adjustments (XVA) are among the most intriguing areas in financial risk management and modeling, attracting strong business and regulatory attention.
The presenters will cover recent developments in the CCR and XVA space, including:
- Key regulatory initiatives towards consolidation of CCR management practices, in the context of FRTB and on the back of the CCR incidents that characterized the last few years.
- Improvements and methodological advancements in modelling WWR, leveraged and overcollateralized exposures.
- Implementation challenges and the quest for streamlined infrastructures across XVA, SA-CVA, CCR capital and risk monitoring.
Presenters
- Fabrizio Anfuso, Senior Technical Specialist at Bank of England
Fabrizio is a leading expert in developing complex risk analytics, quantitative modelling and financial regulations. He has an extensive track record of heading quant teams, as well as of taking part in firm-wide programs and international regulatory initiatives. His main areas of expertise are Counterparty Credit Risk, Monte Carlo simulations, Internal Models, derivatives pricing, CCPs & collateral modelling, Initial Margin methodologies and regulatory capital. Fabrizio is chairing the master’s courses in Counterparty Credit Risk and Derivatives Portfolio Valuations of the ETH / University of Zurich and taught a number of advanced professional trainings in topics such as CCR, capital management and Initial Margin methodologies. As part of his academic activities, he has authored numerous research contributions in the fields of quantitative finance and condensed matter physics. Fabrizio holds a Ph.D. in Theoretical Physics from the Chalmers University of Technology (Gothenburg, Sweden). - Giovanni Cesari, Managing Director at Standard Chartered Bank
Giovanni is a senior financial engineer with over 25 years of experience in quantitative modelling and risk management. He has led the development of cutting-edge risk models and platforms across multiple global institutions. Presently, he is Managing Director at Standard Chartered Bank, where he has held several leadership roles within the Traded Risk Management department. He is currently the head of Traded Risk Analytics and the Accountable Executive of the FRTB programme. His previous roles include the establishment of the XVA and the Prime Services Risk Management function. Prior to joining SCB, Giovanni was Managing Director and Global Head of Portfolio Quantitative Analytics at UBS, where he built from the ground up a unified platform for computing and hedging Counterparty Credit Exposure, CVA/DVA, FVA, and RWA across all trading businesses. He is the author of the book Modelling, Pricing, and Hedging Counterparty Credit Exposure, published by Springer in 2009, and is recognised as a thought leader in the field of counterparty credit risk.
The event will be moderated by Falk Scheffler, Lead Quant and Analytics at EY in Zurich.
Agenda
17:45 Arrival & Name Tag Collection
18:10 Welcome and Introduction
18:15 Project presentation
18:45 Panel with all the speakers and Q&A
19:25 Conclusion
19:30 Networking Drinks
20:30 End
Chapter Event
As chapters evolve, synergies are found and the focus of our topics change, we will combine chapter “Risk Analytics and Models” and Stress Testing and Scenario Generation” into the new chapter “Analytical Methods”. We explore analytical approaches to risk management, with a focus on practical applications. Our chapter provides practitioners with a stage to share their latest ideas, tools and methods.
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Counterparty Credit Risk and XVA: New Regulations, Models and Implementation
16. September 2025
18:00 - 20:30