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



How to Accelerate XVA Performance

In the post-crisis world, an increasing number of banks have set up a centralized XVA desk. With the introduction of new regulations to ensure banks are adequately capitalized, it has become common practice to include certain costs in the pricing of OTC derivatives that, in many cases, had previously been ignored.


A First View on the New CVA Risk Capital Charge

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.


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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