Top 5 risk challenges of today

Svetlana Borovkova, Associate Professor of Quantitative Finance at Vrije Universiteit Amsterdam, puts forward what she deems some of the most pressing risk challenges of today.

Number 1: Central clearing for derivatives

Dealing with central clearing for derivatives, in terms of raising initial and variation margin, developing models for initial margin, clearly defining client-clearing member relationships and other CCP related issues

Number 2: Buy-side parties

For buy-side parties who want to get away from IRS and central clearing, what are alternative efficient ways of hedging interest rate risk if not interest rate swaps?

Number 3: XVA’s

All sorts of valuation adjustments, in particular, margin VA, capital VA, their efficient calculation.

Number 4: Longevity risk for pension funds

How to get insights into increased life expectations in the coming 50 years and how to hedge this risk?

Number 5: How to model assets on the long term

Predominantly for pension funds, it is important to question how to realistically model joint evolution of stock market, interest rates in the long term, i.e., 10-30 years.