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CVA Risk

CVA risk is the risk of mark-to-market losses of CVAs (Credit Valuation Adjustments) of bilateral derivative instruments. Currently, the majority of banks use the standardised approach for the calculation of the capital charge for CVA risk. In December 2017, the Basel Committee published a document finalising two approaches for the CVA risk calculation in pillar 1: The new standardized approach (SA-CVA) and the basic approach (BA-CVA). The internal model approach (IMA-CVA) which was included in earlier consultative documents is no longer part of the new version. The new standardised approach is designed in line with the requirements of the Fundamental Review of the Trading Book. We can help you to evaluate the possible impact of the new rules and analyse together with you which approach fits best for your institution.

CVA risk plays an important role in pillar 2 for many banks. Apart from the assessment of materiality,  the identification of derivatives in scope  (corporate exemption) and the selection of the appropriate CVA risk method are of particular importance. You are wondering how to deal with CVA risk management? We are not only familiar with the proposed approaches by the EBA. Our consultants are aware of industry best practices and understand the unique needs of our customers. We will guide you through the complete process, from an initial analysis to the integration of CVA risk calculations into your market risk model. Our solutions are tailored to your preferences and constraints related to exposure calculation and risk model.Our team has hands-on project experience covering all aspects of measuring and managing CVA risk. We will discuss with you the potential impact of the latest publications.

 

Our team has hands-on project experience covering all aspects of measuring and managing CVA risk. We will discuss with you the potential impact of the latest publications.

 

We are happy to arrange a meeting with your experts to discuss this important topic. We welcome you to contact us! Please call us on +44 20 7776 1000 (UK), on +49 69 907370 (DE) or email us at marktrisiko@remove-this.d-fine.de, subject "CVA risk".

 

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