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.


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


  • Dmitry Pugachevsky, Director of Research, Quantifi


Innovative thinking


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As banks look to reduce, mitigate, and optimize XVA and other capital charges, they are making investment in XVA capabilities in an attempt to solve the computational challenge of simulating a full universe of risk factors.


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.


Quantifi Survey Reveals Challenges in Managing The Cost of Collateral for Clearing

Quantifi today published the results of a short survey conducted as part of its recent webinar on the Cost of Collateral for clearing.

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