The global financial crisis brought counterparty credit risk and CVA very much into the spotlight, this webinar explores the capital charges under the two regimes, the capital relief that can be achieved and the potential to reduce the capital charges via eligible hedges
Presenter
- Dmitry Pugachevsky, Director of Research, Quantifi
Agenda
- Basel III
- Credit Valuation Adjustment Risk Capital Charge (CVA VaR)
- Standardized CVA Formula / Advanced CVA Formula
- Comparison of Different Approaches for a Simple Case
- Credit Hedges for Basel III CVA Capital Charges
- Comparison of Credit Hedges for a Real Portfolio
Recommended Whitepapers and Articles
Banks Are Not Ready for Counterparty Risk Elements of Basel lll
IFRS13 - Accounting for CVA and DVA
Comparing Alternate Methods for Calculating CVA Capital Charges Under Basel III
CVA, DVA and Hedging Earnings Volatility