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.


  • 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


  • 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?


Innovative thinking


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.


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.


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.

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