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Provided by: London Financial Studies Counterparty Risk, Credit Exposure and CVAAccounting and Finance |
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This course explains and develops the ideas and models for collateral management and the measurement and quantification of counterparty risk. The ideas are built up sequentially and workshops are used to develop the key ideas including margin calculations, estimation of haircuts, credit exposure and pricing counterparty risk. Participants will be able to take away all worked examples and additional exercises and models implemented using Excel functions and macros.
All delegates will receive a copy of Jon Gregory's recent published book "Counterparty Credit Risk: The New Challenge for Global Financial Markets" (Wiley).
Who The Course is For
* Credit traders and credit officers
* Risk managers and credit risk practitioners
* Structurers and salespeople
* IT
* Middle office
* Senior management
* Quantitative researchers
* Product control
* Portfolio managers
* Operations / Collateral management
Prior Knowledge
* Numerate background (basic)
* Knowledge of derivatives products
* Basic knowledge of Microsoft Excel
All delegates will receive a copy of Jon Gregory's recent published book "Counterparty Credit Risk: The New Challenge for Global Financial Markets" (Wiley).
Who The Course is For
* Credit traders and credit officers
* Risk managers and credit risk practitioners
* Structurers and salespeople
* IT
* Middle office
* Senior management
* Quantitative researchers
* Product control
* Portfolio managers
* Operations / Collateral management
Prior Knowledge
* Numerate background (basic)
* Knowledge of derivatives products
* Basic knowledge of Microsoft Excel
Related Awards, Degrees or Certifications: This program is eligible for 24 Continuing Education credit hours from the CFA Institute.
Related Jobs or Careers: * Credit traders and credit officers
* Risk managers and credit risk practitioners
* Structurers and salespeople
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Training
Provided by London Financial Studies
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Counterparty Risk, Credit Exposure and CVA
Day One
Basics of collateralisation
Credit exposure and collateral
* Defining credit exposure
* Expected positive exposure and worst case exposure
* Typical credit exposure profiles for different products
* Exposure netting
* Impact of collateral
* Benefits of effective collateral management
Workshop: Computing credit exposure and showing the impact of collateralisation
Basics of collateral management
* Types of eligible collateral
* Haircuts, thresholds and minimum transfer amounts
* Portfolio reconciliation
* Cross-product collateralisation
* Basel 2 treatment
Workshop: Implementing a general method for calculating posting and return amounts including current collateral, thresholds, independent amounts, minimum transfer amount, haircuts and rounding
Day Two
Advanced issues in collateralisation
Risks of collateralisation
* Organisational considerations
* Legal requirements
* Outsourcing
* Operational and settlement risk
* Dispute resolution
Workshop: Calculating appropriate haircuts with a value-at-risk approach as a function of security type and maturity
Impact of correlation and volatility on collateralisation
* Incorporating collateral in an exposure management framework
* Volatility, value-at-risk and haircuts
* Correlation and wrong-way collateralisation
* The effective margin call frequency
* Liquidation impact on price
Workshop: Are the independent amounts and haircuts large enough? Simulating the impact of volatility, correlation and forced liquidation. Calculating the optimal liquidation period
Day Three
Counterparty risk and collateral
Pricing counterparty risk
* Default probability
* Expected positive exposure
* Recovery rates
* Credit value adjustment (CVA)
* Pricing formula for CVA
Workshop: Implementing a credit value adjustment and applying it to a range of products
Pricing and hedging counterparty risk in the presence of collateral
* Impact of netting on CVA
* Impact of collateral on CVA
* Hedging and contingent credit default swaps (CCDS)
* Wrong-way counterparty risk and collateral
* Bilateral counterparty risk and collateral
Workshop: Impact on collateral on exposure and assessment of collateral benefit in the case of wrong-way and bilateral counterparty risk
Counterparty risk in credit derivatives
* Counterparty risk in credit default swaps
* Counterparty risk, structured credit and the credit crunch
* Monolines and credit derivative product companies
* The role of a central clearing house
Workshop: Assessing the counterparty risk in a credit derivative transaction
Basics of collateralisation
Credit exposure and collateral
* Defining credit exposure
* Expected positive exposure and worst case exposure
* Typical credit exposure profiles for different products
* Exposure netting
* Impact of collateral
* Benefits of effective collateral management
Workshop: Computing credit exposure and showing the impact of collateralisation
Basics of collateral management
* Types of eligible collateral
* Haircuts, thresholds and minimum transfer amounts
* Portfolio reconciliation
* Cross-product collateralisation
* Basel 2 treatment
Workshop: Implementing a general method for calculating posting and return amounts including current collateral, thresholds, independent amounts, minimum transfer amount, haircuts and rounding
Day Two
Advanced issues in collateralisation
Risks of collateralisation
* Organisational considerations
* Legal requirements
* Outsourcing
* Operational and settlement risk
* Dispute resolution
Workshop: Calculating appropriate haircuts with a value-at-risk approach as a function of security type and maturity
Impact of correlation and volatility on collateralisation
* Incorporating collateral in an exposure management framework
* Volatility, value-at-risk and haircuts
* Correlation and wrong-way collateralisation
* The effective margin call frequency
* Liquidation impact on price
Workshop: Are the independent amounts and haircuts large enough? Simulating the impact of volatility, correlation and forced liquidation. Calculating the optimal liquidation period
Day Three
Counterparty risk and collateral
Pricing counterparty risk
* Default probability
* Expected positive exposure
* Recovery rates
* Credit value adjustment (CVA)
* Pricing formula for CVA
Workshop: Implementing a credit value adjustment and applying it to a range of products
Pricing and hedging counterparty risk in the presence of collateral
* Impact of netting on CVA
* Impact of collateral on CVA
* Hedging and contingent credit default swaps (CCDS)
* Wrong-way counterparty risk and collateral
* Bilateral counterparty risk and collateral
Workshop: Impact on collateral on exposure and assessment of collateral benefit in the case of wrong-way and bilateral counterparty risk
Counterparty risk in credit derivatives
* Counterparty risk in credit default swaps
* Counterparty risk, structured credit and the credit crunch
* Monolines and credit derivative product companies
* The role of a central clearing house
Workshop: Assessing the counterparty risk in a credit derivative transaction
About The Training Provider: London Financial Studies
London Financial Studies - London Financial Studies is a specialist teaching resource that concentrates exclusively on capital markets. We offer individuals, teams and companies expert teaching that combines theoretical understanding with practical experience.
Our business is driven by a distinct philosophy and clear values:
* Practical Application
* Intellectual Clarity
* Personal Approach
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