The debate lingers on…As the capital markets converge towards the need to better monitor and manage counterparty credit risk through CVA, market participants are faced with questions related to whether or not to actively hedge these counterparty exposures. CVA hedging is a practice done at larger banks and being explored at other financial institutions. On the other hand, DVA, which represents a firm’s own credit risk is a hotly contested debate in the industry in regards to financial reporting and active hedging.

On October 4, 2012 Denny Yu provided a general overview of CVA and DVA from the perspective of trading and risk management practitioners and discussed different ways to hedge CVA and DVA.

Mr. Yu covered the following key topics in the webinar:

  • Review of CVA and DVA calculations

  • Strategies, instruments, pros & cons of CVA and DVA hedging

  • Industry views on the hotly contested hedging debate

To view the webinar replay, just register on the right side of this page.

Featured Numerix Speakers:
Denny Yu, Product Manager, NumerixDenny Yu, Product Manager, Numerix
Mr. Yu oversees risk analytics including stress testing, VaR, and counterparty credit risk management. Prior to Numerix, Denny held several positions at RiskMetrics, a global provider of risk technology, including Product Manager, Implementation consultant, and Risk Advisor. Denny also spent several years at Citigroup in the Credit Risk Modeling group working on the bank's firm-wide Credit Value-at-Risk methodology, default probability modeling and debt rating models. He has been a guest lecturer at New York University for enterprise wide risk management and has been published in several industry journals including Quantitative Credit Analyst and Commercial Lending Review. Denny has a Masters in Business Administration in Finance from New York University and is a CFA Charterholder.

Jim Jockle, Senior Vice President, MarketingModerator: Jim Jockle, Senior Vice President, Marketing
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

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