Collateral Optimization in Light of Credit Risk Regulation and Clearing by Dmitry Pugachevsky

Collateral Optimization in Light of Credit Risk Regulation and Clearing

Presenter: Dmitry Pugachevsky: Director of Research, Quantifi

Video Lectures


Introduction: cost of collateral, impact of recent regulations (Running Time: 1.37.04)


Counterparty credit risk and collateral (Running Time: 1.41.30)


Basel capital charges related to CCR (Running Time: 1.17.58)


Cost of clearing (Running Time: 44.08)


Abstract:

”Recent Basel III and Dodd-Frank regulations significantly increased collateral requirements, either for cleared or OTC trades. This course will look at different capital costs arising from counterparty risk and from clearing and will compare different approaches and models”.

Introduction: cost of collateral, impact of recent regulations

Counterparty credit risk and collateral

  • Bilateral CVA -  accounting, trading and risk management aspects
  • CSA and OIS
  • Funding  and FVA
  • Profitability and marginal cost of a trade  

Basel capital charges related to CCR

  • Basel II and default capital charges, IMM and NIMM methods
  • Basel III and CVA capital charges, Standardized and Advanced methods
  • Basel III treatment of wrong-way risk
  • Comparison of different methods
  • Capital reducing portfolio optimization

Cost of clearing

  • Recent regulations
  • Cost of collateral - Initial and Variation Margins
  • To clear or not to clear

Conclusions