Event
Evolving regulatory expectations and practices for Counterparty Credit Risk Management and SA-CVA modelling
March 19, 2025 | 1:00 PM - 3:00 PM | Hybrid

Details
March 19, 2025
1:00 PM - 3:00 PM
Hybrid
Join Online
Link Emailed Upon Registration
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Forvis Mazars
30 Old Bailey London EC4M 7AU
Contact
Questions can be directed to GARP Events at events@garp.com.
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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.
Agenda/Schedule
*Date and Time noted as
-
Welcoming remarks from, Nicolas Cerrajero and Katherine Wolicki.
March 19, 2025
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