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


  • 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


  • Dr Dmitry Pugachevsky, Director of Research, Quantifi
  • Sebastian Schnitzler, Manager, d-fine GmbH Frankfurt
  • Dr Holger Plank, Senior Manager, d-fine AG Zurich



A First View on the New CVA Risk Capital Charge

In July 2015, the Basel Committee of Banking Supervision (BCBS) published a consultative paper on credit valuation adjustment (CVA) risk to improve the current regulatory framework. In February 2016, first improvements of this framework have been introduced within the QIS instructions for the QIS based on December 2015 results.


Comparing Alternate Methods for Calculating CVA Capital Charges Under Basel III

The global financial crisis brought counterparty credit risk and CVA very much into the spotlight. The Basel III proposals, first published in December 2009, introduced changes to the Basel II rules that reflected the need for a new capital charge against the volatility of CVA.


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. CVA is easy to understand in the context of a loan – it is the loan principal, minus anticipated recovery, multiplied by the counterparty’s default probability over the term of the loan. For derivatives, the loan amount is the net MTM value of derivative positions with that counterparty.

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