Counterparty Credit Risk

 
  • Price: US$ 200.00
  • Publisher: KESDEE
  • Number of modules: 9
  • Length: 18-24 hours
  • Language: English
  • Subscription: 12 months
whats-included

How to Assess, Quantify and Manage Credit Risk for Exchange-Traded and Over-the-Counter Derivatives

In this course, you will learn the mechanics and techniques of the assessment, quantification and management of credit risk for various derivatives. 

Course material also includes techniques for the mitigation of pre-settlement and settlement risk such as netting, margin and collateral requirements. You will also learn how to use the Monte Carlo simulation methods for projecting worst-case exposure at the portfolio level.

 

Counterparty Credit Risk: 9 modules of 2 - 3 hours each.


Overview of Derivatives

  • Forward Contracts
  • Futures
  • Swaps
  • Options
  • Option Strategies


Credit Exposure

  • Measuring Credit Exposure
  • Probability of Default
  • Recovery Rate


Credit Risk in Derivatives

  • Swaps
  • FRAs
  • Options

Pre-Settlement and Settlement Risk
  • Margin
  • Collateral
  • Haircut


Netting

  • Types of netting
  • Regulatory requirements
  • Capital treatment


Margin and Collateral Requirements

  • Margin
  • Collateral
  • Haircut


Monte Carlo Simulation

  • Monte Carlo and Credit Risk


Case Studies:

  • The fall of Barings Bank
  • Metallgesellschaft

 

Job Aids and References

  • Benchmarking Data
  • Disclosures
  • Measurement Tools
  • Regulations
  • Global Best Practices
  • References


Bonus: Key Calculations in Counterparty Credit Risk


1. Margin Call
2. Margin Cost
3. Credit Exposure in an FRA
4. NPV
5. FRA