Impact of the New CVA Risk Capital Charge

The recently published consultative document ‘Review of the credit valuation adjustment (CVA) risk framework’ by the Basel lll Committee introduces new approaches for the calculation of regulatory capital. With focus on XVA stakeholders including desk traders, risk managers, finance and technology professionals, this webinar explores the new CVA risk framework based on FRTB and SA-CCR

Co-hosted by Quantifi & d-fine

 

Agenda

  • The new regulatory landscape with SA-CCR, FRTB and new CVA risk capital charge
  • The different CVA risk methodologies
  • Sample calculations for the BA-CVA and SA-CVA approach
  • Implementation challenges of the new CVA risk capital charge
  • Impact on operational processes and derivatives business 

 

 

Presenters

Dr Dmitry Pugachevsky, Director of Research, Quantifi 

Sebastian Schnitzler, Manager, d-fine GmbH Frankfurt 

Dr Holger Plank, Senior Manager, d-fine AG Zurich 

 
 
 

Recommended Whitepapers and Articles

FRTB: Strengthening Market Risk Practices?

IFRS13 - Accounting for CVA and DVA

Comparing Alternate Methods for Calculating CVA Capital Charges Under Basel III

CVA, DVA and Hedging Earnings Volatility