Making Strides in Counterparty Credit Risk

Financial institutions are making substantial progress in improving their Counterparty Credit Risk management practices. This is in response to changes in accounting rules and new prudential and market regulations, which have tightened substantially following the financial crisis. Collectively, these changes are having a deep impact on the market and the way firms price and manage the risk associated with derivatives.

Hosted by EY and Quantifi, this seminar in London covered a range of counterparty risk related topics including new accounting standards, development of OIS discounting, regulatory change and technology best practices.

Agenda

  • New accounting standards, and trends in accounting for CVA, DVA and FVA
  • Developments in OIS discounting and collateral management
  • Impact of regulatory changes around counterparty credit risk and CVA
  • Counterparty Risk Technology: best practices and implementation challenges

Speakers

  • Dmitry Pugachevsky, Director of Research, Quantifi (Moderator)
  • Frank de Jonghe, Partner, Head of Quantitative Advisory Services, EMEIA, EY
  • Tanveer Bhatti, MD, Head of Valuation Control and Analytics, Citi
  • Duncan Richford, co-Head CVA/ Head Capital Optimisation in Markets, Commonwealth Bank of Australia

insights

Innovative thinking

Whitepapers

Banks Are Not Ready for Counterparty Risk Elements of Basel lll

Basel III significantly changes the way in which financial institutions address counterparty credit risk (CCR) and credit value adjustment (CVA).

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Whitepapers

Challenges in Implementing a Counterparty Risk Management Process

The objectives of setting up a counterparty risk management process can be split into three categories - CVA pricing, exposure management, and regulatory requirements.

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Whitepapers

Managing Credit Risk by Counterparty Selection

In cases where counterparties, e.g. prime brokers, do not post collateral and CDS protection is prohibitively expensive, hedge funds tend to manage credit risk through counterparty selection.

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