Extensions and revisions of bank capital requirements under Basel III have given rise to increased interest in capital calculations and the methods employed. For example, the requirement to use stressed exposures for Counterparty Credit Risk (CCR) capital requirements, the inclusion of the Credit Valuation Adjustment (CVA) capital charge, and the conservative treatment of certain hedging benefits have made many OTC trading businesses more capital intensive.
As a result, a grasp of how the marginal risk of a potential trade impacts the overall capital requirements is critical to making informed trading decisions, and also provides guidance on how to reflect the associated capital utilization in the pricing of trades. But the capital regulations can be difficult to navigate and must be well understood before tackling complex computations such as trade-level Capital Valuation Adjustment (KVA).
On Thursday August 13th featured speaker Dr. Andrew McClelland, Director of Quantitative Research at Numerix, provided an overview of Basel III bank capital regulations, clarifying and demystifying less intuitive aspects of the regulations and laying the foundations for a forthcoming webinar on KVA.
Dr. McClelland coverED
- Brief recap of risk-weighted assets and capital ratios
- Splitting capital requirements into primary sources: market risk, counterparty credit risk and CVA risk
- Comparing the standardized and advanced approaches
- Digging deeper into the advanced approaches: historical Value at Risk (HS-VaR), stressed effective expected positive exposure (EEPE) and CVA-VaR
- Expected exposure profiles as building blocks for advanced CCR and CVA capital
- Looming revisions to the calculations: Standardized Approach for CCR (SA-CCR), Fundamental Review of the Trading Book for Market Risk (FRTB-MR) and FRTB-CVA
To view the on-demand webinar, just register on the right side of this page.
Featured Speakers:
Andrew McClelland, PhD, Director of Quantitative Research, Numerix
Andrew McClelland’s quantitative research at Numerix focuses on XVA pricing and hedging, generating counterparty credit risk metrics for structured products, and estimating risk model parameters via time-series estimation. He earned his PhD in finance at the Queensland University of Technology for a thesis on financial econometrics. He considered markets exhibiting crash feedback, option pricing for such markets, and parameter estimation for such markets using particle filtering methods. Dr. McClelland’s work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.
Moderator: Jim Jockle, Chief Marketing Officer
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.
Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.
