Calculating CVA Capital Charges – Basel III
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

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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, first improvements of this framework have been introduced within the QIS instructions for the QIS based on December 2015 results.

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