WBS 1st Fixed Income Conference

27 May 2014 - 29 May 2014

The WBS 4th CVA Conference, covered counterparty risk and regulation, collateral optimisation, model risk and stress testing. Quantifi ran the pre-conference workshop 'Collateral Optimisation in Light of Credit Risk Regulation and Clearing' which looked at different capital costs arising from counterparty risk and from clearing and compared the different approaches and models

'Collateral Optimisation'

  • Basics of counterparty risk
  • Basel counterparty credit risk capital charges
  • Funding Valuation Adjustment
  • Cost of clearing - initial and variation margin


Dmitry Pugachevsky, Director of Research, Quantifi