Managing Counterparty Risk Capital Charge

This webinar analyses how capital requirements for counterparty credit risk management vary depending on an institution’s business model and also studies the conditions for effective management of counterparty credit risk

Co-hosted by Quantifi & Risk Dynamics

“The key is to have a correct understanding and measurement of counterparty credit risk, not only from a pricing or regulatory perspective but from a risk management angle too.”


  • Comparing CCR Capital Charge
    • Impact of new regulation
    • Overview of methodologies
  • Applying various capital approaches to typical portfolio strategies observed within financial institutions
  • Challenges faced in the implementation of Basel lll regulation
  • Survey findings ‘Your Approach to counterparty risk and Basel lll’


  • Dr. Dmitry Pugachevsky, Director of Research, Quantifi
  • Aurélie Civilio, Senior Consultant, Risk Dynamics


Innovative thinking


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).


Measurement and Management of Counterparty Risk

Institutions need to not only adapt to new ways of measuring and managing risk but may need to reengineer the operating models for substantial parts of their businesses.


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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