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 risk mitigation techniques, measuring exposure, default probabilities and credit curves, stress testing and regulatory capital requirements. 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