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
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
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