Benjamin Piau

Director, XVA Quant at Barclays

Speaker

Benjamin has been an XVA quant for more than 10 years, first at Société Générale as a Vice President, and currently at Barclays as a Director.

Throughout his career, he gained significant exposure to a wide range of topics (e.g. regression pricing, advanced collateral modelling, Multi-Level Monte-Carlo) and asset classes, and witnessed firsthand state-of-the-art technology and theoretical frameworks for the calculation of XVA (e.g. HVA).

His current focus is the assessment of model risk for XVA.

Benjamin holds two Msc from French universities, one in pure mathematics (former Université Pierre et Marie Curie, Paris VI) and another one in quantitative finance (former Université Denis Diderot, Paris VII).