Delivery language: Bahasa Indonesia

This training will teach participants over the Credit Valuation Adjustment (CVA), which is initially introduced in Basel 3 (Regulatory CVA) and part of IFRS 13 (Accounting CVA). The CVA standards have been live now by BIS (Bank for International Settlement) for several years with some revisions have taken place, in which OJK (Otoritas Jasa Keuangan) also has published CP (Consultative Paper) for this topic in OJK's Basel adaptation website, referring to the BIS 2017 CVA framework. In this 1-day training, participants will be introduced to the important building blocks and key points of CVA under the Basic Approach (BA-CVA), which is the standards adopted by OJK, along with explanations over the CVA capital formula building blocks.

Why should your team join this training?

1. OJK still committed to the Basel 4 implementation on January 2023 (https://bit.ly/35I5O9M), in which this includes CVA risk as part of risk-weighted asset calculation (ATMR). Understanding the difference between Accounting CVA and Regulatory CVA is very important in relation to the implementation.

2. The quantitative aspect of CVA is one of the challenging topics in Basel 4 due to its highly quantitative formulation as a hybrid subject between market risk and credit risk, despite the simplification attempt done in BA-CVA. The standards also related to SA-CCR framework, in which important points of this framework will also be explained in this training

3. CVA implementation in Europe has been maturing along with other valuation adjustments (XVA) in these last years, in which the trainer has hands-on knowledge on XVA projects, systems, and reporting.

This training will be brought by expert who has extensive (10+ years) experience in European banking sectors, with stakeholders from various level and domains, e.g. trading and quants, to give training audience perspectives from multiple dimension within a bank.

OJK's related CP:

BA-CVA: https://www.ojk.go.id/id/berita-dan-kegiatan/publikasi/Documents/Pages/Consultative-Paper-Revisi-Persyaratan-Modal-Minimum-untuk-Risiko-CVA/CP%20Persyaratan%20Modal%20Minimum%20Untuk%20Risiko%20CVA.pdf

SA-CCR: https://www.ojk.go.id/id/kanal/perbankan/implementasi-basel/Documents/Pages/Consultative-Papers/Consultative%20Paper%20SA-CCR.pdf

Basel's original document:

CVA: https://www.bis.org/bcbs/publ/d424.pdf

SA-CCR: https://www.bis.org/publ/bcbs279.pdf