Counterparty Risk and Credit Exposure Management Training Course

Introduction

This intensive 5-day training course offers a comprehensive and practical exploration of counterparty risk and credit exposure management, equipping financial professionals with the advanced knowledge and tools necessary to navigate the complexities of today's interconnected financial markets. In an era of increasing interconnectedness and sophisticated financial instruments, understanding, measuring, and mitigating counterparty risk is paramount for the stability and profitability of any financial institution. This program will delve into the various facets of counterparty risk across different asset classes and trading activities, from traditional lending to over-the-counter (OTC) derivatives, providing participants with cutting-edge methodologies and best practices for effective exposure management.

The course goes beyond theoretical concepts, focusing on real-world applications, quantitative techniques, and the latest regulatory developments impacting counterparty risk. Through interactive case studies, hands-on exercises, and discussions of industry benchmarks, attendees will learn to assess potential future exposure (PFE), manage collateral, understand netting agreements, and implement robust risk mitigation strategies. Whether you are a risk manager, credit analyst, trading desk professional, or compliance officer, this program offers an unparalleled opportunity to master the essential skills for safeguarding your institution against counterparty defaults and optimizing your firm's risk-adjusted returns in a dynamic global environment.

Duration: 5 days

Target Audience:

  • Counterparty Risk Managers
  • Credit Risk Analysts
  • Quantitative Risk Modelers
  • Traders and Sales Professionals (especially in derivatives)
  • Portfolio Managers
  • Operations and Collateral Management Specialists
  • Legal and Compliance Professionals
  • Internal Auditors

Objectives:

  • To provide a comprehensive understanding of counterparty risk concepts and its drivers.
  • To equip participants with the skills to measure and monitor credit exposure for various financial instruments.
  • To understand the impact of netting, collateral, and other mitigation techniques.
  • To explore regulatory frameworks (e.g., Basel, Dodd-Frank) and their implications for counterparty risk.
  • To enable participants to implement robust counterparty risk management frameworks and best practices.

Course Modules:

Introduction

  • Defining counterparty risk and its distinction from traditional credit risk.
  • Key drivers of counterparty risk in derivatives, repo, and securities lending.
  • Recent financial crises and lessons learned regarding counterparty risk.
  • Regulatory focus and industry evolution in counterparty risk management.
  • Overview of the course structure and key learning objectives.

Measurement of Credit Exposure

  • Current Exposure (CE) and Potential Future Exposure (PFE).
  • Expected Exposure (EE) and Expected Positive Exposure (EPE).
  • Calculation methodologies for different product types: swaps, options, forwards, repo.
  • Understanding replacement cost and add-on factors.
  • Simulation approaches for PFE and EPE (e.g., Monte Carlo).

Mitigation Techniques for Counterparty Risk

  • Netting agreements: legal enforceability and impact on exposure.
  • Collateralization: types of collateral, margin agreements, re-hypothecation.
  • Credit Support Annex (CSA) and its key clauses.
  • Central Clearing Counterparties (CCPs): benefits and residual risks.
  • Credit derivatives for hedging counterparty risk (e.g., CDS on counterparty).

Counterparty Credit Risk (CCR) Valuation Adjustments

  • Credit Valuation Adjustment (CVA): definition, calculation, and impact.
  • Debt Valuation Adjustment (DVA) and Funding Valuation Adjustment (FVA).
  • Understanding the interplay between CVA, DVA, and FVA.
  • Regulatory capital implications of CVA and DVA.
  • Hedging CVA risk: challenges and strategies.

Basel III and Regulatory Capital for CCR

  • Overview of Basel III framework for counterparty credit risk.
  • Standardized Approach (SA-CCR) for calculating RWA.
  • Internal Model Method (IMM) for advanced calculation.
  • Capital requirements for CVA risk.
  • Impact of FRTB on counterparty risk capital.

Stress Testing and Scenario Analysis for CCR

  • Design and implementation of stress scenarios for counterparty exposures.
  • Incorporating market shocks and correlation breaks.
  • Reverse stress testing for identifying vulnerabilities.
  • Contagion risk and systemic implications of counterparty defaults.
  • Integrating CCR stress tests into overall enterprise-wide stress testing programs.

Counterparty Risk in Specific Products

  • OTC Derivatives: interest rate swaps, cross-currency swaps, options.
  • Repurchase Agreements (Repos) and Securities Lending.
  • Foreign Exchange (FX) spot and forward transactions.
  • Commodities derivatives and their unique counterparty risk aspects.
  • Structured products and their embedded counterparty exposures.

Governance, Best Practices, and Future Trends

  • Establishing a robust counterparty risk governance framework.
  • Roles and responsibilities of front office, middle office, and back office.
  • Data management and IT infrastructure for CCR.
  • Evolution of ISDA documentation and industry standards.
  • Emerging trends: blockchain, AI, and their potential impact on CCR.

CERTIFICATION

  • Upon successful completion of this training, participants will be issued with Macskills Training and Development Institute Certificate

TRAINING VENUE

  • Training will be held at Macskills Training Centre. We also tailor make the training upon request at different locations across the world.

AIRPORT PICK UP AND ACCOMMODATION

  • Airport pick up and accommodation is arranged upon request

TERMS OF PAYMENT

Payment should be made to Macskills Development Institute bank account before the start of the training and receipts sent to info@macskillsdevelopment.com

 

Counterparty Risk And Credit Exposure Management Training Course in Montenegro
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