RiskTech Forum

Counterparty Credit Risk And Credit Value Adjustment

Posted: 7 January 2013  |  Source: PRMIA


This webinar recording covers: Failures of large financial institutions and sovereigns, leading to bankruptcies and dramatic bailouts have thrust counterparty credit risk heavily into the spotlight as the key element of financial risk management. The sudden realisation of extensive counterparty risks has severely compromised the balance sheets of banks globally, the health of global financial markets and state of the general economy. Understanding and managing counterparty risk and CVA (credit value adjustment) has become a key problem for all financial institutions.

In this webinar, I will outline some of the key challenges within the counterparty risk and CVA areas and discuss some related problems. The complexity in defining and quantifying CVA will be described and I will discuss some classic problems such as debt value adjustment (DVA) and wrong-way risk. I will discuss the impact of regulation, in particular the Basel 3 capital requirements and the role of central counterparties. Finally, I will discuss the impact of related issues such as funding value adjustment (FVA) and OIS discounting.