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FINANCIAL MARKET COURSES

Counterparty Credit Risk (CCR) – Measurement

In recent years, accounting regulations and regulatory oversight have mandated that firms measure and manage their CCR exposure. These requirements generate a significant burden as regards data aggregation and the creation of complex measurement models. In addition, a major organizational development has been the creation of 'CVA desks' dedicated to active management of CCR. Further, the financial crisis has ensured that regulatory developments, as well as measurement and management techniques, are constantly evolving in this area.

 

This course moves beyond the identification of counterparty credit risk and focuses on the way it is measured today, while understanding that 'the only constant is change'.

  • OBJECTIVES

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

    Describe how institutions calculate counterparty exposure

    Explain the key risks associated with securities loans

    Outline how institutions generate a 'fair' charge for their estimated credit exposure

  • COURSE OUTLINE

    Topic 1: Measuring CR

    Accounting Treatment of CCR

    Distribution of Potential Counterpart Credit Exposure

    Generating Distributions and Paths for CCR

    Calculating MTM Prices for Portfolio Instruments

    Calculating Exposure

    o Exposure at Default (EAD)

    o Probability of Default (LGD)

    Topic 2: Credit Value Adjustment

    Estimating Probability of default (PD)

    Credit Value Adjustment (CVA)

    Wrong Way Risk

    Debt Value Adjustment (DVA)

    Bilateral CVA (BCVA)

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    50 Minutes

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