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.

Agenda

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

RELATED INSIGHTS

Whitepapers

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.

Whitepapers

Measurement and Management of Counterparty Risk

The measurement and management of counterparty risk is in the midst of a revolution. Within recent memory of most counterparty risk managers it all used to be so much simplier. Limits were set on the same basis as traditional lending, and the exposure measured against those limits was quantified using simple add-on factors applied to the notional of each transaction. Regulatory capital was based on the simple methodology specified under Basel I.

Whitepapers

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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