Webinar – Applying Standards for Counterparty Credit Risk, Dec 2, 3PM GMT, 830PM IST

Applying Standards for Counterparty Credit Risk – Centralising XVA Calculations

Date: Tuesday, December 2, 2014
Time: 3:00 p.m. GMT

Register Now

The onset of the financial crisis has spurred banks and regulators to integrate counterparty credit risk in their frameworks. The need to reflect on counterparty and own credit risk in the valuation of derivatives is a major concern for financial institutions and it also affects other types of corporate entities who may hold derivatives to hedge against interest rate and foreign exchange risk in their business.

For accounting FASB and IFRS provides that non-performance risk has to be reflected in the value. In the case of an asset this includes the counterparty credit risk (CVA). In the case of a liability held by an entity this includes its own credit risk (DVA), which also is linked to the cost of funding (FVA). Valuation adjustments are also required for other purposes such as establishing regulatory capital or for management and investor information. Complying with these standards requires a robust risk analytic capability and system infrastructure. Implementation is costly and proving to be both theoretically and practically challenging.

In this webinar we will investigate the best practice guidelines for implementation, and how centralising the calculations can make the process more efficient and cost effective.

Presenters:

  • Rhys Taylor, Director, EY
  • Jeremy Vice, Head of CVA, Unicredit
  • Steve White, CEO, Riskcare
  • Martin Engblom, Business Development Analyst, TriOptima

 

 

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