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Vienna Event Focuses on Counterparty Credit Risk, CVA
By Nik Venema | December 17, 2013

FINCAD and our German partner, Nagler & Co., co-hosted a one-day conference in Vienna, Austria on Wednesday December 4th. Approximately twenty representatives from as many Austrian bank risk departments were in attendance.

The morning consisted of a focus on the latest regulatory initiatives surrounding counterparty credit risk – specifically regarding margin requirements for non-centrally cleared derivatives and the resultant effect on the liquidity coverage ratio. In addition there was a dedicated talk during the morning session on the non-internal model method (NIMM) for capitalizing counterparty credit risk exposures.

The afternoon session highlighted the fundamentals of CVA and specifically how it is treated with respect to IFRS, Basel III, and in trading and active risk management. FINCAD’s F3 solution was showcased as an elegant CVA solution as we focused on CVA, DVA, and FVA for portfolios with netting, wrong way risk, marginal and incremental CVA, and expected exposure profiles as well as sampling strategy for CVA.

The event was held at the Sofitel hotel and the conference had a fitting wrap-up as the attendees headed for one of Vienna’s prominent Christmas markets to provide a seasonal conclusion to the event.

Room 1111Sascha 33