Evolving regulatory expectations and practices for Counterparty Credit Risk Management and SA-CVA modelling

Overview

Post Archegos, there has been increasing regulatory scrutiny into how firms manage their counterparty credit risk both in terms of risk management and modelling practice.

Topics being discussed include: Best practice for CCR measuring for highly collateralized exposures; Wrong-Way Risk (WWR) classification (both specific and general); methodology for capturing WWR from a risk management and capital perspective; CCR stress-testing, Risk-not-in IMM.  
In a similar vein, firms are considering SA-CVA modelling under the new Basel 3 framework. Our survey covers grey areas of the SACVA implementation including the treatment of Specific and General Wrong-Way Risk.
 
We propose a quantitative benchmarking through limited hypothetical portfolios capturing specific CCR modelling aspects; bringing together Forvis-Mazars strong technical expertise and GARP’s longstanding track record for robust and secure data-gathering. 
 
Hold the date for an engaging discussion on how firms might come together to conduct a benchmarking study to better understand market practice.