Page 31 - CCFA Journal - Second Issue

加中金融

巴赛尔协议 III 中交易对手风险的信用估值调整（ CVA）

Counterparty Credit Risk CVA in Basel III

【摘要】大金融危机揭示了风险管理在金融衍生品实施上的缺陷。这使得巴赛尔银行监管委员会 (BCBS) 在应对危机的 Basel III 中显
著加强了已有框架体系，其中包含了交易对手信用风险（CCR）、证券融资交易（SFTs）、场外交易（OTC）和集中清算衍生品。

交易对手风险（CCR）是一种相对复杂的风险评估。它是信用和市场风险之间的混合体，且取决于交易对手信用度和潜在市场风险因
素的变化。CCFA 风险论坛邀请以下嘉宾讨论巴赛尔框架下交易对手信用风险和 CVA。

本期《CCFA 风险论坛》第 16 讲由 CCFA 会长顾大局做了开题演讲。CCFA 执行董事 Yicent Chen 作为会议的主持人介绍了 CCFA 风
险论坛。此文是由一群 CCFA 义工们，Alex Zhou, Gimma Wu, Vicky Liu 和 Shirley Shi，根据讲座的内容而整理出来的。
The Great Financial Crisis of 2009 revealed major weaknesses in risk management practices associate with derivatives, and as a result led the Basel
Committee on Banking Supervision (BCBS) to create Basel III, which significantly strengthened the counterparty credit risk (CCR) framework for
securities financing transactions (SFTs), both over-the-counter (OTC) and centrally cleared derivatives.

It is difficult assessing CCR as it is a hybrid of credit and market risk, and also depends on changes in both the counterparty’s creditworthiness and
movements in the underlying market risk factors. CCFA Risk Forum invited the following speakers to talk about CCR and CVA in the Basel
framework.

Daju Gu, CCFA President, gave a warm welcome for both speakers before introducing the topic. Yicent Chen, CCFA Executive Director, was the
session’s host and introduced the CCFA Risk Forum.

This article was compiled based on the materials presented in the session by a group of volunteers, who are Yue Wu, Yi Lin, Yilin Luo, and Gracie
Huang.

Jin Wang, Director, Model Validation and Approval, Xun Ma, Senior Manager, Counterparty Credit Risk Model
Scotiabank Development, TD Securities

加拿大丰业银行模型验证与批准部 主任 加拿大道明证券交易对手信用风险模型开发部 高级经理

CCFA JOURNAL OF FINANCE DECEMBER 2020
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