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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insights

Navigate major trends & developments shaping the industry

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The impact of the new CVA risk regulation framework on calculation methods and the infrastructure of banks could potentially be the turning point for many of the medium-sized institutes we are seeing in the market.

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Comparing Alternate Methods for Calculating CVA Capital Charges Under Basel III

There are two ways for banks to compute CVA VaR, standardised and advanced methods, depending on their current regulatory approval. Furthermore, firms can potentially reduce the capital charges via eligible hedges.

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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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