Capital Valuation Adjustments

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Capital Valuation Adjustments

Dr. Matthias Arnsdorf discuss capital valuation adjustments and communication skills in quant finance.

Monday 2 October 2023

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Podcast Description

In this episode of the QuantSpeak podcast, Dan Tudball is joined by Dr. Matthias Arnsdorf. Matthias discusses capital valuation adjustments and the challenges they face in the current economic climate, the importance of communication skills as a quant, and more.

Topics & Timestamps

[00:00 - 01:43] Guest Intro and Topic Introduction

[01:43 - 03:30] Counterparty Risk Explained, Team Overview

[03:30 - 04:06] CVA vs KVA Terminology

[04:06 - 06:00] Valuation Adjustments Overview

[06:00 - 07:30] FVA, KVA, and Shareholder Value

[07:30 - 09:29] Valuation Adjustments Post-Crisis, Risk Management

[09:29 - 12:52] Evolution of Pricing, Meaning of Value, Types of Adjustments

[12:52 - 16:22] Complexity, Competition, Tech Advances, Crisis Response

[16:22 - 19:49] Big Data, AI, Economic Regime, New Challenges

[19:49 - 23:46] Collaboration, Communication, Advice for Quants & Closing.

Disclaimer

Podcasts are for informational purposes only and provided “as is” without any representation or warranty from Fitch Learning of any kind. Comments or statements expressed by speakers may not be those of the Fitch Learning. Fitch Learning is not providing advice or recommendations. Fitch Learning, its directors, officers, or employees do not accept any liability for any loss arising from the use of information.