Managing Complexities of CVA, DVA and FVA

Regulation including Dodd-Frank, Basel lll, MiFID ll and EMIR are increasing the cost of capital and driving the need to more accurately measure the risks and profitability of OTC derivatives. At Quantifi's London seminar, senior practitioners discussed the triad of valuation adjustments (CVA, DVA, FVA) which have to be taken into account when measuring profitability, the developments in model optimisation and the impact of proposed regulation on counterparty risk

Agenda

  • Measuring trade profitability with CVA, DVA and FVA
  • Challenges of trading and hedging CVA and DVA
  • Developments in modelling and performance optimisation
  • Requirements and impact of regulations on counterparty risk

Speakers

  • Dmitry Pugachevsky, Director of Research, Quantifi
  • Paul Lawton, CVA Trading Professional, ex-BNP Paribas
  • Andrew Green, Head of Quantitative Credit Developments, Lloyds Banking Group
  • Simon O’Callaghan, CVA Risk Manager, Barclays

insights

Navigate major trends & developments shaping the industry

Whitepapers

A First View on the New CVA Risk Capital Charge

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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Whitepapers

Should Banks Charge for FVA?

Interest on the topic of Funding Valuation Adjustment (FVA) was renewed, particularly in light of the JPMorgan’s Q4 2013 earnings report, which for the first time included FVA.

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Whitepapers

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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