Counterparty Risk and CVA, What's New?

Quantifi & PRMIA teamed up in New York to present an interactive seminar on counterparty risk & CVA where experienced practitioners discussed related matters including trends in setting up CVA processes, marginal CVA pricing practices, how are banks hedging CVA now and in the future and regulatory priorities.

Speakers

  • Dmitry Pugachevsky, Director of Research, Quantifi
  • David Lynch, Manager, Quantitative Risk Management and Financial Analysis, Federal Reserve Board
  • Fabio Mercurio, Head of Quant Business Managers, Bloomberg
  • Doug Warren, Independent CVA consultant, formerly of Barclays Capital

Agenda

  • Current trends in setting up CVA processes
  • Marginal CVA pricing practices
  • How are banks hedging CVA now and in the future?
  • Regulatory priorities

 


 

Counterparty Risk & CVA, What's New? - Highlights

Counterparty Risk & CVA, What's New? - Intro

 

Counterparty Risk & CVA, What's New? - Panel Discussion

 

 

 

 


Recommended Whitepapers and Articles

Managing Complexities of CVA, DVA and FVA

CVA, Clearing, and Basel III Capital Charges​

Impact of the New CVA Risk Capital Charge