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



Banks Are Not Ready for Counterparty Risk Elements of Basel lll

Enhancing Counterparty Credit Risk management practices is a key focus for banks. 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 banks price and manage the risk associated with derivatives.


Measurement and Management of Counterparty Risk

The measurement and management of counterparty risk is in the midst of a revolution. Within recent memory of most counterparty risk managers it all used to be so much simplier. Limits were set on the same basis as traditional lending, and the exposure measured against those limits was quantified using simple add-on factors applied to the notional of each transaction. Regulatory capital was based on the simple methodology specified under Basel I.


Challenges in Implementing a Counterparty Risk Management Process

Most banks are in the process of setting up counterparty risk management processes or improving existing ones. Unlike market risk, which can be effectively managed by individual trading desks or traders, counterparty risk is increasingly being priced and managed by a central CVA desk or risk control group since the exposure tends to span multiple asset classes and business lines. Moreover, aggregated counterparty exposure may be significantly impacted by collateral and cross-product netting agreements.

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