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

insights

Navigate major trends & developments shaping the industry

Whitepapers

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.

Whitepapers

Comparing Alternate Methods for Calculating CVA Capital Charges Under Basel III

There are two ways for banks to compute CVA VaR, standardised and advanced methods, depending on their current regulatory approval. Furthermore, firms can potentially reduce the capital charges via eligible hedges.

Whitepapers

Challenges in Implementing a Counterparty Risk Management Process

The objectives of setting up a counterparty risk management process can be split into three categories - CVA pricing, exposure management, and regulatory requirements.

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