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
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.
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 today published the results of a short survey conducted as part of its recent webinar on the Cost of Collateral for clearing.
Let's talk!