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This course will provide attendees with an in depth understanding of existing capital requirements under Basel III and CRD IV for cleared and non-cleared OTC transactions and the incoming changes in the regulatory landscape. Session will also cover stress testing techniques and how to calculate collateral for counterparty risk exposures. The course will be delivered by expert counterparty risk managers and specialists from leading financial institutions.

Course Tutors

Ronald Filler, Professor of Law and Director of the Centre on Financial Services Law, New York Law School
William Segal, Director, Quantitative Analysis, Capital One
Alexander Shklyarevsky, Director, Model Risk Management, Enterprise Risk Management, State Street
Harvey Stein, Head, Regulation and Credit Modelling, Bloomberg

Course Highlights:

  • Learn best practice for managing counterparty risk in a financial institution
  • Understand CVA charge and counterparty risk under Basel III and CRD IV
  • Develop strategies to address Basel III compliant collateral modelling and wrong way risk
  • Identify key risk factors for counterparty credit risk stress testing
  • Measure exposure to central counterparties
  • Review regulatory developments including the standardised approach to counterparty credit risk

Who Should Attend:

  • Traders
  • Risk Managers/Analyst
  • Credit Risk Management/Analyst/Consultant
  • Derivative Operations
  • Collateral Management
  • Exposure Management
  • Heads of Compliance
  • Regulatory and Risk Reporting
  • Quantitative Analyst
  • Market Risk Analyst

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Learning outcomes

  • Existing capital requirements under Basel III and CRD IV for cleared and non-cleared OTC transactions
  • Stress testing, scenario analysis, sensitivity analysis and the repercussions for counterparty credit risk
  • Measuring collateral for counterparty risk exposures
  • The application of CVA to centrally cleared derivatives
  • Best practice for managing counterparty risk in a financial institution and how to charge for counterparty risk
  • The incoming changes to the regulatory landscape including the standardised approach to counterparty credit risk
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