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Driven by an extensible data dictionary architecture, the SA-CCR (Standardized Approach Counterparty Credit Risk) solution automates exposure at default (EAD) computations and provides new potential future exposure (PFE) and replacement cost (RC) calculations in line with Basel IV requirements. Ian engages with the wider industry – ISDA, Regulators and the Accounting community – on a range of issues including KVA, focusing on approaches which increase transparency, stability and sustainability, and with a strong emphasis on serving customers.Afrique Francophone Albania Andorra Angola Argentina Armenia Australia Austria Azerbaijan Bahamas Barbados Belarus Belgium Belgique België Bermuda Bolivia Bosnia and Herzegovina Botswana Brasil British Virgin Islands Brunei Bulgaria Cambodia Cameroon Canada Cape Verde Caribbean Cayman Islands Central and Eastern Europe Chad Channel Islands Chile China Colombia Congo (Brazzaville) Congo (Dem. SA-CCR Credit Risk Solution Addresses Basel IV. He continues to shape the NWM quant analytics and technology platform for portfolio risk calculations, ensuring the firm possesses leading edge tools to adapt swiftly to rapidly-evolving market practices, accounting methodologies, and regulatory standards. He was instrumental in establishing xVA as a substantial trading function in the firm, managing Credit, Liquidity and Capital risks across derivative asset classes. SA-CCR is a method for calculating capital that banks must hold to cover the risk that a derivatives trading partner will fail to pay its obligations. After graduating from Cambridge with a degree in Mathematics and Philosophy, he undertook roles at Merrill Lynch and JP Morgan before joining RBS / NatWest Markets in 2006 as a trader in the newly-formed xVA team. Ian Bentham is an xVA trader with two decades of experience in Financial Services.
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Implementation of KVA in Bloomberg's Multi-Asset Risk System (MARS).How KVA is calculated: the shareholders’ vs bondholders’ perspective.Increased focus on quantifying capital costs upfront and the increased usage of KVA.Flash recap of SA-CCR and regulatory capital.6 1.4 (RC + PFE) where RC is the replacement cost calculated in the manner described in. 5 10 Under the SA-CCR, an AI will be required to calculate the amount of its CCR exposure in respect of its portfolio of derivative contracts with a counterparty as follows CCR exposure amount. This price adjustment is known as the capital value adjustment, or KVA.īut how should KVA be modelled and calculated? Should banks make a provision for it? We will discuss these questions and more in the second webinar of this series. 2 Calculation of CCR Exposures under SA-CCR. Join Murex’s Frank Heanue and Fintech Finance’s Ali Paterson as they discuss how the potential capital savings gained from accurately calculating the Standardized Approach for Counterparty Credit Risk (SA-CCR) can far surpass the implementation costs. To meet target return on equity this cost should be calculated upfront and embedded into the price offered to the counterparty. MX.3 for SA-CCR: A solution beyond regulatory reporting.
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SA-CCR provides the capital requirement for today but very little information about the cost of capital over the lifetime of a derivatives portfolio. This regulatory calculation method puts the spotlight on the OTC derivatives business and its ever-mounting costs of capital. In March, we discussed the incoming SA-CCR regulation. Manage Products and Account Information.