This week, Monticello Consulting Group attended Risk.net’s XVA Masterclass webinar series on the recent developments and trends in the XVA and counterparty risk management space. The need to correctly calculate and manage counterparty risk is vital to banks, especially in these volatile times. The events of this spring in equity and commodity markets highlighted both the importance of maintaining a strong XVA program and the potential weaknesses in the current market-wide implementation of XVA.
Looking ahead, machine learning, artificial intelligence and even quantum computing all have the potential to dramatically improve the accuracy, precision and speed of XVA calculations, resulting in cost savings and reduced risks for banks.