Seminar 5: Counterparty Credit Risk

Seminar 5: Counterparty Credit Risk

1 March 2012, 16:00-18:00, European Parliament

The Basel III proposals currently being implemented into Europe through CRD IV represent a very significant change in both the quantity and quality of capital which firms will need to hold. The components which are new and which are attracting the most attention are those surrounding Counterparty Credit Risk. The all new Credit and Debit Valuation Adjustments (“CVA” and “DVA”) together with the arrangements surrounding the move to central clearing present the greatest challenges. This seminar will explain the aims of these proposals and discuss the difficulties and possible solutions in order for the proposals to achieve their intended goals without unintended consequences.

PROGRAMME

16:00       Introduction

Christine Brentani, Managing Director Prudential Regulation, AFME
Peter Sime, Head of Risk and Research, ISDA

16:05      What is Counterparty Credit Risk?

– Definition of Counterparty Credit Risk basic concepts
– Products subject to Counterparty Credit Risk
– Counterparty Credit Risk mitigation tools
– Practical examples

Jeroen Krens, Managing Director Global Markets, Royal Bank of Scotland

16:25      Managing Counterparty Credit Risk

– Definition of Credit Valuation Adjustments
– CVA desk or no CVA desk: Overview of the various business models and CVA approaches
– Managing CVA / Counterparty risk
– Practical examples
– What is going to change under CRD IV?

Emmanuel Ramambason, Head of CVA, BNP Paribas

16:45      Central counterparties (CCPs)

– Centralised clearing
– Challenges faced by the CCPs

Chris Holliman, Director, Risk Management, Barclays Capital

17:05      CRD IV

– Issues with the proposed treatments (CVA, CCPs)
– Should our clients expect an impact?
– Fundamental review of the trading book

Christine Brentani, Managing Director Prudential Regulation, AFME

Peter Sime, Head of Risk and Research, ISDA

17:20      Q&A

17:50      Closing Remarks

Christine Brentani, Managing Director Prudential Regulation, AFME

Peter Sime, Head of Risk and Research, ISDA

18:00      End of session