Counterparty Credit Risk

Agenda Program Online
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K dispozici výhradně jako online školení
Cena online školení
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How you will benefit:

An appreciation of the background and evolution of counterparty risk recognition
An understanding of counterparty risk mitigation tools and their limitations
An understanding of systemic risk and extreme tail risk
Practical examples of risk and capital calculations
An introduction to central clearing
An appreciation of some of the contradictions in approaches, e.g. between accounting and regulatory needs, and between different approaches of firms.
An understanding of XVA
A comprehensive overview of counterparty credit risk.

This course covers all aspects of counterparty credit risk (CCR) in OTC derivatives. A short background on the evolution of the OTC market and the recognition of CCR is followed by detailed discussions on netting, collateral, SIMM, measuring exposure, default probabilities and credit curves, regulatory capital requirements, risk intermediation and CCPs. CVA, DVA and the other valuation adjustments are also covered along with wrong way risk.

The course is intended particularly for risk managers, audit, and regulators and will include a number of practical exercises and examples designed to make the course interactive. It will also look at how different mitigation techniques may lead to new problems, for example central clearing, collateralisation and initial margin requirements.

Who should attend?

Analysts, Vice Presidents, Directors, Senior Managers in:
  • Risk Analytics
  • Credit Risk Management
  • Capital Management
  • Regulatory Compliance
  • Governance
  • Audit
  • Regulators

Program semináře: Counterparty Credit Risk

09.00 - 09.15 Welcome and Introduction

09.15 - 12.30


  • Brief background of the evolution of CCR up to 2008
  • The 2008 crisis
  • Political and regulatory responses, Basel III, EMIR, IFRS13, Dodd Frank, OTC regulation
  • The ETD and OTC derivative markets

Overview of Counterparty Risk

  • The nature of Counterparty risk
  • Mitigation methods

A closer look at Risk Mitigation Methods

  • The ISDA Master Agreement and CSA
  • Netting
    • Payment netting
    • Close out netting
    • Trade compression
  • Termination and Resets
  • Use of Collateral
    • IM, VM, CSAs, effects on exposure, haircuts
    • Regulatory requirements for OTC margin - BCBS D317
    • SIMM
  • Default Remote Entities
  • CCPs
    • Operation
    • Default management
    • Capital requirements for cleared trades

12.30 - 13.30 Lunch Break

13.30 - 17.00

Credit Exposure

  • Metrics: EPE, PFE etc.
  • Drivers of exposure
  • Credit Risk, Funding Risk and Collateral
  • Three approaches to modelling exposure: parametric, semi-analytical and Monte Carlo
  • Use of Monte Carlo methods for IMM
  • Incorporation of netting and collateral into models

Default Probabilities, Credit Spreads and Funding

  • Default Probabilities
  • Actuarial and market implied PDs
  • Credit curves
  • Funding curves, capital costs and FTP

09.00 - 12.30

Capital Requirements and regulation

  • Background to Pillar 1 capital requirements for market and credit risk
    • Standardised approach and IRB for credit risk capital requirements
  • EAD for regulatory capital
    • CEM
    • Standardised Approach for Counterparty Credit Risk (SA-CCR)
    • IMM
  • Basel III
    • CVA capital charge
    • Review of CVA capital
  • Finalising Basel III, d424
    • Reduced BA-CVA
    • Full-CVA
    • Revised Standardised Approach
  • Draft Revised CRD and CRR - 2016

12.30 - 13.30 Lunch Break

13.30 - 17.00


  • CVA: Credit Valuation Adjustments
    • CVA allocation
  • DVA: Debit Valuation Adjustments
    • Accounting and regulatory views of DVA
  • BCVA: Bilateral CVA
  • FVA: Funding Valuation Adjustments
    • Link between FVA and DVA
  • MVA: Margin Valuation Adjustments
  • KVA: Capital Valuation Adjustments
  • ColVA
    • Discounting
    • Collateral valuation adjustments

Wrong Way Risk

  • Overview
  • Quantification and modelling approaches
  • Calibrating "Alpha"

XVA Management and Optimisation

  • Requirements for desks with internal model approval

Online školení
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