capital charges

Explaining the Two Key FRTB Frameworks

Wednesday, June 28, 2017

FRTB is intended to address the undercapitalisation of trading book exposures witnessed during the financial crisis. While the basic goals and ideas of FRTB are simple, it differs materially from the existing Market Risk regulations. FRTB is likely to have a substantial influence in the way firms are organised, and their approach to measuring and reporting risk. There will also be an overall business and operational impact.  Banks need to decide whether the costs associated with operational and IT change is justified.  Read More

FRTB: Strengthening Market Risk Practices?

Friday, January 6, 2017
In July 2015, the Basel Committee proposed the FRTB-CVA framework which replaces the current CVA Risk Capital calculations. Six months later it published the final rule of the FRTB framework designed to address the undercapitalisation of trading... read more

Why Measure Counterparty Credit Risk?

Thursday, August 4, 2016

Counterparty credit risk (CCR) is currently one of the most complex topics for financial institutions. This complexity comes from many different sources but is primarily related to the multiple definitions and uses of counterparty credit risk. Therefore, the first question to ask yourself before modeling counterparty credit risk is why do you want to measure it? Read More

WBS 12th Fixed Income Conference

Monday, June 6, 2016
Quantifi will present 'Impact of the New CVA Risk Capital Charge' on Day 1 and be taking part in 'Initial Margin and Regulatory Requirements' panel debate on Day 2. Event Overview Pre-Conference: Initial Margin for Cleared and Non-cleared... read more

A First View on the New CVA Risk Capital Charge

Thursday, April 28, 2016

In July 2015, the Basel Committee of Banking Supervision (BCBS) published a consultative paper on Credit Valuation Adjustment (CVA) risk to improve the current regulatory framework. In February 2016, the first improvements to this framework have been introduced based on the QIS based on December 2015 results. Read More

A First View on the New CVA Risk Capital Charge

Tuesday, February 16, 2016

by Quantifi & d-fine

The recently published consultative document ‘Review of the Credit Valuation Adjustment (CVA) risk framework’ by the Basel lll Committee introduces new approaches for the calculation of regulatory capital. This white paper explores the effect of two of the new regulatory methods introduced in the consultative paper.

Comparing Alternate Methods for Calculating CVA Capital Charges Under Basel III

Monday, January 25, 2016

co-authored by Jon Gregory, Solum Financial Partners

The global financial crisis brought counterparty credit risk and CVA very much into the spotlight. The Basel III proposals first published in December 2009 introduced changes to the Basel II rules and the need for a new capital charge 'CVA VaR' against the volatility of CVA. There are two ways for banks to compute CVA VaR, so-called standardised and advanced methods, which depend on their current regulatory approval with respect to other aspects. Furthermore, there is the potential to reduce the capital charges via eligible hedges. This whitepaper explores the capital charges under the two regimes and the capital relief that can be achieved.

The Dynamics Driving OTC Markets, New York Conference, 2015

Tuesday, October 6, 2015
Regulations in the form of Basel lll, EMIR, Dodd-Frank, MiFID, IFRS and IOSCO have altered the structure of the OTC markets. This has led banks to focus on pricing and managing costs in a consistent fashion at a trade, desk and business level.... read more