Counterparty Credit Risk Capital is significant driver in OTC instruments and was identified as the major contributor to the financial crisis of 2007-08. Since then it has significantly changed due to Basel IIIregulations as well as banks setting up CVA desks transforming it from risk function to profit function.Our services include:
- Counterparty Credit Risk Management Policy
- CVA Desk Governance Framework
- Collateral Management Framework
- Develop/Validate Models for Counterparty exposure measures such as Potential future exposure (PFE), Expected Exposure (EE), Expected positive exposure (EPE) and Effective Expected Exposure (EEE) etc.
- Develop/Validate Models forXVA pricing adjustments – Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA)&Funding Valuation Adjustment (FVA).