London Society Meeting: Pricing the XVA and Marginal Stochastic Liabilities

Join Andrey Chirikhin at our first London Society Meeting of 2025. This event will be a fantastic opportunity to meet and network with other quant finance professionals in London.

Talk Abstract:

The talk will explore an approach to build a holistic and self-consistent theory of XVA, having recognized that all real-life derivatives are marginal stochastic liabilities or portfolios thereof.

About the Speaker:

Andrey Chirikhin is currently a Director at Credit Quantitative Analytics in Barclays Investment Bank, London. His team deals with a wide range of flow and exotic, single name and basket credit products and hybrids.

His career in finance spans more than 25 years, 20 of which he has been a quant. In different positions and organizations, he dealt with modelling of most asset classes and wide range of derivative products, and he also contributed to the risk-side quantitative developments. Before joining Barclays, Andrey worked as a front office quant for Dresdner Kleinwort, HSBC, Goldman Sachs and Royal Bank of Scotland, on the buy side for LetterOne, as well as for PwC and Deloitte as a consultant.

Being a production-grade quant, Andrey is an expert C++/C#/Python programmer, he has an extensive experience in using various compute technologies, including TensorFlow and Spark, and he enjoys web programming (including bidirectional real-time) as a hobby.