There is currently a strong market focus on counterparty credit risk and more specifically on Credit Valuation Adjustment (CVA). The attention is predominantly towards the issue of efficient CVA pricing as opposed to implications in terms of risk management and capital requirements. However, since the recent crisis, another issue has gained prominence; the significant losses that counterparty credit risk can cause if not properly managed.
Comparing capital requirements
Identifying inconsistencies in prudential regulations
Applying various capital approaches to typical portfolio strategies observed within financial institutions
Highlighting the challenges financial institutions face in the implementation of Basel lll regulation
Key findings from a recent, Quantifi and Risk Dynamics, industry survey 'Your Approach to Counterparty Risk and Basel lll'
Dr. Dmitry Pugachevsky, Director of Research, Quantifi
Aurélie Civilio, Senior Consultant, Risk Dynamics