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

insights

Navigate major trends & developments shaping the industry

Whitepapers

A First View on the New CVA Risk Capital Charge

The impact of the new CVA risk regulation framework on calculation methods and the infrastructure of banks could potentially be the turning point for many of the medium-sized institutes we are seeing in the market.

Whitepapers

Comparing Alternate Methods for Calculating CVA Capital Charges Under Basel III

There are two ways for banks to compute CVA VaR, standardised and advanced methods, depending on their current regulatory approval. Furthermore, firms can potentially reduce the capital charges via eligible hedges.

Whitepapers

CVA, DVA and Bank Earnings

Credit Value Adjustment (CVA) is the amount subtracted from the mark-to-market (MTM) value of derivative positions to account for the expected loss due to counterparty defaults. CVA is easy to understand in the context of a loan – it is the loan principal, minus anticipated recovery, multiplied by the counterparty’s default probability over the term of the loan. For derivatives, the loan amount is the net MTM value of derivative positions with that counterparty.

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