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.

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