Quantifi: Comparing Alternative Methods for Calculating CVA Capital Charges Under Basel III by Dmitry Pugachev
The global financial crisis brought counterparty credit risk and CVA very much into the spotlight, this webinar aims to explore the capital charges under the two regimes and the capital relief that can be achieved.
• Explore the need for a new capital charge against the volatility of CVA
• Review two ways for banks to compute CVA VAR, standardised and advanced methods
• What is the potential to reduce the capital charges via eligible hedges.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net