Senior practitioners discuss changes in the OTC markets due to new regulations and the impending Basel lll capital accord. This Quantifi seminar explores how banks are transitioning their business models, generally moving away from capital intensive businesses and shifting decision making authority from the trading desks to central management groups.
This diverse panel included Head of CVA Pricing and Analysis from Commerzbank, Head of Risk Management Markets from Deka Bank and a Partner from Dfine. This discussion and the following Q&A provided an intersting insight into how the issue of counterparty risk is affecting the German banking community.
- Dmitry Pugachevsky, Director of Research, Quantifi
- Birgitta Drwenski, Head of CVA Pricing and Analysis, Commerzbank AG
- Dirk Talkenberger, Head of Risk Management Markets, Deka Bank
- Dr. Mark W. Beinker, Partner, d-fine GmbH
- Challenges & best practices in setting up a CVA process
- Regulatory priorities and counterparty risk
- How are banks hedging CVA now and in the future?
- Calculation, attribution, and mitigation of risk costs
Dmitry Puchavesky introduces the panel and provides overview of the speed of evolution of CVA and the impact of the financial crisis, resulting in the introduction of new regulation including Basel lll.
The panel provides their views on the purpose of CVA and also how to determine the right approach for calculating CVA taking into account trade data parameters and the different data requirements between front and middle office.
How the Credit Crisis Has Changed Counterparty Risk Management