WBS 4th CVA Conference

26 Mar 2015 - 27 Mar 2015

Quantifi presented 'Cost of Collateral for Clearing'. This CVA Conference oprovided intuitive insight into the latest practical aspects of The CVA desk: Reviewing the impact of regulatory changes & capital charges, XVA management, pricing adjustments & desk organization and the latest pricing, trading & modelling techniques as well as a more holistic view of the whole process.

'Cost of Collateral for Clearing'

  • Initial and Variation Margin Costs (IMC/VMC)
  • Real world risk measures
  • Accounting for FVA, Capital/KVA
  • Fundamental Review of the Trading Book
  • Model risk
  • Stress testing
  • DFAST, PPNR Forecasting


Rohan Douglas, CEO, Quantifi