Training offers a powerful tool for disseminating and deploying your strategy. Contact our sales team to see how we can assist you in conveying your vision.
Difference between market risk, credit risk and counterparty risk on market transactions
Various types of counterparty risk (credit risk, variation risk, settlement/delivery risk, issuer risk)
Measuring counterparty risk on market transactions
Definition of the different measures of variation risk
Factors for reducing variation risk (Netting, Collateral)
Quantification of variation risk
Credit Valuation Adjustment (CVA)
Practical workshop
Calculating risk profiles on market instruments
Using variation risk within the bank
Operational aspects
Managing activities, counterparty and/or country limits
Economic capital, calculating the return on market transactions
Practical workshop
Calculating risk profiles on market instruments
Understand the specific nature and problems of different counterparty risks
Master techniques for valuing counterparty risk on market transactions used in risk management
Understand CVA
Master problems with the monitoring of counterparty risk on market transactions in terms of internal management and at a regulatory level (Basel II and III reforms)
Examination, critical analysis and practical application of all methods and models for valuing counterparty risks on market transactions
Issues considered in the context of Basel II and III reforms and their implications
