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Counterparty Credit Risk (CCR) – Management

Once an institution has estimated its counterparty credit risk exposure, it must decide on the best method for managing this risk. A variety of risk management tools and techniques are available. This course describes some of these, focusing on both settlement risk and pre-settlement risk. It also looks at how a CVA desk works and how it charges for its services. Finally, capital adequacy requirements and the regulatory perspective relating to CCR are examined.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Describe the different tools and techniques used to manage CCR

    Explain the role of the CVA desk in CCR management

    Outline capital and regulatory perspectives in relation to CCR

  • COURSE OUTLINE

    Topic 1: Managing Counterparty Credit Risk

    Continuous Linked Settlement (CLS)

    Delivery vs. Payment (DVP)

    Repurchase Agreements (Repos)

    Master Agreements/Documentation

    Trade Compression

    Limit Management

    Topic 2: The CVA Desk

    How Does a CVA Desk Work?

    Charging for CVA

    Incremental & Marginal CVA

    Organization

    Hedging

    Market Risk

    Credit Risk

    CDS & CVA

    Topic 3: capital Adequacy & Regulatory Perspectives

    Capital Adequacy

    Alpha Regulatory Capital

    Central Clearing

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    60 Minutes

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