A First View on the New CVA Risk Capital Charge

17 Feb 2016

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. With a focus on XVA stakeholders including desk traders, risk managers, finance and technology professionals, this webinar will explore the new CVA risk framework based on FRTB and SA-CCR.

Webinar co-hosted by Quantifi & d-fine


  • The new regulatory landscape with SA-CCR, FRTB
    and new CVA risk capital charge
  • Presentation of the different CVA risk methodologies
  • Sample calculations for the BA-CVA and SA-CVA approach
  • Implementation challenges of the new CVA risk capital charge
  • Impact on operational processes and derivatives business 


  • Dr. Dmitry Pugachevsky, Director of Research, Quantifi
  • Sebastian Schnitzler, Manager, d-fine GmbH Frankfurt
  • Dr. Holger Plank, Senior Manager, d-fine AG Zurich

Date & Time

17th February, 2016

3pm GMT / 4pm CET / 10am EST