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Counterparty Credit Risk - A comprehensive overview of counterparty credit risk (CCR)

by Gary Dunn

Languages: English

Price (from): €2,000

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About the trainer:

Gary now works as a consultant and trainer in bank risk and regulatory capital modeling but has an extensive track record as a practitioner having worked in the market, credit, operational and liquidity risk management. Gary has considerable experience with central counterparties, having sat on a number of CCP risk committees and carried out stress testing reviews. Over the years, Gary has worked both on the regulatory side (Bank of England, FSA and on Basel working groups) and for industry (HSBC, Morgan Stanley) toward shaping the new regulatory landscape.

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Counterparty Credit Risk - A comprehensive overview of counterparty credit risk (CCR) by Gary Dunn

About the training

#understanding of counterparty risk   #practical examples   #understanding different approaches   #understanding of counterparty risk mitigation tools limitations

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, collateralization, and initial margin requirements.

Learning outcomes

Counterparty risk

An appreciation of the background and evolution of counterparty risk recognition

Risk mitigation tools and their limitations

An understanding of counterparty risk mitigation tools and their limitations

Systemic and tail risk

An understanding of systemic risk and extreme tail risk

Risk and capital calculations

Practical examples of risk and capital calculations

Central clearing

An introduction to central clearing

Different approaches

An appreciation of some of the contradictions in approaches, e.g. between accounting and regulatory needs, and between different approaches of firms

XVA

An understanding of XVA

Program

  • Background

  • Overview of Counterparty Risk

  • A closer look at Risk Mitigation Methods

  • Credit Exposure

  • Default Probabilities, Credit Spreads and Funding

  • xVAs

  • Wrong Way Risk

  • Capital Requirements and regulation

  • XVA Management and Optimisation

Main benefits

  • #Wide collection of the biggest experts
  • #Filters for all kinds of needs
  • #User friendly platform
  • #Fast and cheap
  • #Highest level of proficiency