Collateral Optimization in Light of Credit Risk Regulation and Clearing

Recent Basel III and Dodd-Frank regulations significantly increased collateral requirements, either for cleared or OTC trades. This webinar reviews the different capital costs arising from counterparty risk and from clearing and will compare different approaches and models.

 

Agenda

  • Introduction: Regulations and Clearing
  • Basics of Counterparty Risk
  • Basel CCR Capital Charges
  • Funding Valuation Adjustment and XVA
  • Cost of Clearing - Initial and Variation Margins

Presenter

Dmitry Pugachevsky, Director of Research, Quantifi

 

 

Recommended Whitepapers and Articles

Whitepaper: Cost of Trading and Clearing OTC Derivatives in the Wake of Margining

A First View on the New CVA Risk Capital Charge

Identifying Liquidity Risk for Financial Stability

Challenges in Implementing a Counterparty Risk Management Process