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