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.


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


  • 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


Navigate major trends & developments shaping the industry


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.


Measurement and Management of Counterparty Risk

Institutions need to not only adapt to new ways of measuring and managing risk but may need to reengineer the operating models for substantial parts of their businesses.


CVA, DVA and Bank Earnings

Credit Value Adjustment (CVA) is the amount subtracted from the mark-to-market (MTM) value of derivative positions to account for the expected loss due to counterparty defaults. CVA is easy to understand in the context of a loan – it is the loan principal, minus anticipated recovery, multiplied by the counterparty’s default probability over the term of the loan. For derivatives, the loan amount is the net MTM value of derivative positions with that counterparty.

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