Counterparty Risk Management
Due to the Lehman shock, the importance of the counterparty risk management is focused again.
The international regulatory framework for banks has been reformed to the Basel III, which requires to capture the risk of CVA (Credit Valuation Adjustment) changes for OTC derivative transactions.
The financial institutions that apply uniform international standards have been subject to a capital charge for the CVA risk since the end of March 2013, and the other banks in Japan also have been subject to a capital charge for the CVA risk since the end of March 2014 as Financial Services Agency in Japan announced the revised regulatory notification on 8 March 2013.
To enhance your credit risk management, we provide various consulting services and risk management systems to calculate the impacts of the capital charge based on the IMM(Internal Model Method)and the advanced CVA risk in the Basel III. We make measurement methods and computational engines to advance the risk asset evaluation and the credit management.