Counterparty Credit Risk Modeling Under the New Basel 3 Regulatory Framework

Please join us for a webinar where we will present information on Counterparty Credit Risk Modeling Under the New Basel 3 Regulatory Framework.

In 2013 Banks in several jurisdictions will need to account for new counterparty risk capital charges under the Basel 3 framework (related to both banking and trading book derivative exposures).

As credit spreads on the counterparties widen, the CVA charge increases raising capital requirements, which can be minimized if banks hedge their CVA risk (e.g. buying CDS). The biggest driver of counterparty risk is from derivatives, and trades that are not margined (i.e. those done outside of Central Clearing) will see the harshest CVA capital charges.

Agenda Topics Include
 The Basel’s Regulatory Capital “Labyrinth” for OTC Derivatives
 The Basel 3 Goal: Strengthening capital requirements: Key Issues Identified
 The New CVA Capital Charge
 The Role of Central Counterparties: Benefits from Clearing
 A Focus on the New CVA Formula for: The MSCI-RiskMetrics Reporting Proposal