CVA, Clearing, and Basel III Capital Charges
New financial regulations including Dodd-Frank, Basel lll, MiFID ll and EMIR are increasing the cost of capital and driving the need to more accurately measure the risks and profitability of OTC derivatives. At this seminar, held in New York, industry speakers discussed how regulations result in changes regarding counterparty risk.

Speakers

  • Dmitry Pugachevsky, Director of Research – Quantifi
  • Pramod Achanta, Partner, Capco
  • Tammy S. Greyshock, MD, Head of Counterparty Risk Management, Wells Fargo
  • Doug Warren, Portfolio Manager, BlueMountain Capital Management
  • Sol Steinberg, PRMIA Steering Committee

Agenda

  • New accounting standards, and trends
  • Clearing and the complexity of collateral management
  • The implications of Basel III for CVA desks
  • How are banks hedging CVA now and in the future?
  • Approaches to dealing with wrong way risk
  • Funding Valuation Adjustment – part of the price or an extra cost?

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.

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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

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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