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

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