Efficient management of default risk and CVA reserves on a derivative portfolio.
Providing innovative insights into where traditional credit metrics are challenged by derivative portfolios and how to adapt your exposure calculations for real world dynamics and wrong way risk. Help on creating balanced portfolios for both credit exposure and capital utilization.
Moving from credit exposure to dynamic CVA reserving. We advise on best practices related to the development and parametization of models, how to best risk manage the reserves, and share experiences in bridging between the best economic models and new regulatory calculations.