Counterparty Risk and CVA, What’s New?
Quantifi & PRMIA teamed up in London to present a 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

  • Jon Gregory, Consultant, Solum Financial
  • Kai Pohl, Head of CVA Trading, Societe Generale
  • Nathaniel Benjamin, Risk Specialists Division, FSA

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

Comparing Alternate Methods for Calculating CVA Capital Charges Under Basel III

The global financial crisis brought counterparty credit risk and CVA very much into the spotlight. The Basel III proposals, first published in December 2009, introduced changes to the Basel II rules that reflected the need for a new capital charge against the volatility of CVA.

Whitepapers

Challenges in Implementing a Counterparty Risk Management Process

Most banks are in the process of setting up counterparty risk management processes or improving existing ones. Unlike market risk, which can be effectively managed by individual trading desks or traders, counterparty risk is increasingly being priced and managed by a central CVA desk or risk control group since the exposure tends to span multiple asset classes and business lines. Moreover, aggregated counterparty exposure may be significantly impacted by collateral and cross-product netting agreements.

Let's Talk!

Schedule a personalised demo today

Loading...