Webinar : The Fundamentals of Basel III Bank Capital Regulations, Aug 13, 10am EDT

The Fundamentals of Basel III Bank Capital Regulations

Extensions and revisions of bank capital requirements under Basel III have given rise to increased interest in capital calculations and the methods employed. For example, the requirement to use stressed exposures for Counterparty Credit Risk (CCR) capital requirements, the inclusion of the Credit Valuation Adjustment (CVA) capital charge, and the conservative treatment of certain hedging benefits have made many OTC trading businesses more capital intensive.

As a result, a grasp of how the marginal risk of a potential trade impacts the overall capital requirements is critical to making informed trading decisions, and also provides guidance on how to reflect the associated capital utilization in the pricing of trades. But the capital regulations can be difficult to navigate and must be well understood before tackling complex computations such as trade-level Capital Valuation Adjustment (KVA).

Date:
August 13, 2015
Time:
10:00am EDT
Speaker:
Andrew McClelland, Phd
Moderator:
Jim Jockle
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JOIN NUMERIX on Thursday, August 13th at 10am EDT as featured speaker Dr. Andrew McClelland, Director of Quantitative Research at Numerix, provides an overview of Basel III bank capital regulations, clarifying and demystifying less intuitive aspects of the regulations and laying the foundations for a forthcoming webinar on KVA.

Dr. McClelland will cover:

  • Brief recap of risk-weighted assets and capital ratios
  • Splitting capital requirements into primary sources: market risk, counterparty credit risk and CVA risk
  • Comparing the standardized and advanced approaches
  • Digging deeper into the advanced approaches: historical Value at Risk (HS-VaR), stressed effective expected positive exposure (EEPE) and CVA-VaR
  • Expected exposure profiles as building blocks for advanced CCR and CVA capital
  • Looming revisions to the calculations: Standardized Approach for CCR (SA-CCR), Fundamental Review of the Trading Book for Market Risk (FRTB-MR) and FRTB-CVA

 

Andrew McClelland, PhD, Director of Quantitative Research, Numerix

Andrew McClelland, PhD, Director of Quantitative Research, Numerix
Andrew McClelland’s quantitative research at Numerix focuses on XVA pricing and hedging, generating counterparty credit risk metrics for structured products, and estimating risk model parameters via time-series estimation. He earned his PhD in finance at the Queensland University of Technology for a thesis on financial econometrics…. Read more

Jim Jockle, CMO, Numerix

Moderator: Jim Jockle, Chief Marketing Officer, Numerix
Mr. Jockle leads the company’s global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets… Read more

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