Counterparty Credit Risk Management
This two-day programme will provide participants with issues and challenges surrounding counterparty credit risk in derivatives.
This two-day programme will provide participants with issues and challenges surrounding counterparty credit risk in derivatives. Our expert speakers will highlight two important characteristics of CCR: the risk of counterparty default and a credit valuation adjustment (CVA); and the calculation of counterparty credit risk of a portfolio of transactions.
- Get an overview of all aspects of counterparty credit risk (CCR) in OTC derivatives
- Understand the methodologies to mitigate CCR and how it can be mitigated through netting and collateralisation
- Explore the concept of wrong way risk and its impact on exposure and CVA measurement
- Key role of CVA in pricing derivatives
Who Should Attend:
Relevant departments may include but are not limited to:
• XVA Desk
• Capital Risk
• Capital Planning
• Quantitative Research
• Market Risk Management
• Counterparty Risk Management
• Quantitative Modelling
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