Středa, 04. Prosinec 2019, NH Hotel, Counterparty Credit Risk

Od 04. Prosinec 2019 - 9:00
Do 05. Prosinec 2019 - 17:00

NH Hotel

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Popis události
A comprehensive overview of counterparty credit risk.

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


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:

Zobrazit více

Risk Analytics
Credit Risk Management
Capital Management
Regulatory Compliance
Governance
Audit
Regulators



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