CVA, Clearing & Basel III Capital Charges

Re-cap
3 Apr 2013

Hosted by: Quantifi, Capco and PRMIA

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. Many of these regulations will result in changes regarding counterparty risk concerns, either mandating or creating incentives for central clearing and imposing significantly higher capital charges for bilateral trading. In this new environment, banks are transitioning their business models, generally moving away from capital intensive businesses and shifting decision making authority from the trading desks to central risk management groups, including CVA desks. With so many moving parts and the inherent complexity, best practices for counterparty risk management are still evolving. Is funding valuation adjustment part of the price or an additional cost? How are firms dealing with clearing and the growing complexity of margin calculation and collateral management? When calculating Basel III capital charges, should bank use Advanced or Standardized formula?

This panel discussion will brought together speakers from three different perspectives on managing one of the biggest risks that banks face.

Venue

The Harmonie Club, 4 East 60th Street, New York

USA, 10022

Areas Covered

  • Clearing and the growing complexity of margin calculation and collateral management
  • The implications of Basel III for CVA desks and challenges of stress testing
  • 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?

Speakers

  • Dmitry Pugachevsky, Director of Research - Quantifi (Moderator)
  • 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 New York Steering Committee