Counterparty Credit Risk

Agenda Program Online Video
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Available exclusively as online training
Price of online training
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How you will benefit:

An appreciation of the background and evolution of counterparty risk recognition
An understanding of counterparty risk mitigation tools and their limitations
Examples of stress testing approaches
An introduction to central clearing
An appreciation of accounting and regulatory requirements
An understanding of XVAs
Chance to try some practical examples of risk and capital calculations
A comprehensive overview of counterparty credit risk.

This course covers all aspects of counterparty credit risk (CCR) in OTC derivatives. A short background on the evolution of the OTC market and the recognition of CCR is followed by detailed discussions on risk mitigation techniques, measuring exposure, default probabilities and credit curves, stress testing and regulatory capital requirements. CVA, DVA and the other valuation adjustments are also covered along with wrong way risk.

The course is intended particularly for risk managers, audit, and regulators and will include a number of practical exercises and examples designed to make the course interactive. It will also look at how different mitigation techniques may lead to new problems, for example central clearing, collateralisation and initial margin requirements.

Who should attend?

Analysts, Vice Presidents, Directors, Senior Managers in:
  • Risk Analytics
  • Credit Risk Management
  • Capital Management
  • Regulatory Compliance
  • Governance
  • Audit
  • Regulators

Program of the seminar: Counterparty Credit Risk

The seminar timetable follows Central European Time (CET).

09.00 - 09.15 Welcome

09.15 - 12.15


  • OTC and Exchange traded derivative markets
  • Defining counterparty risk
  • A short history of counterparty risk and the 2008 crisis
  • Political and regulatory responses, Basel III, EMIR, IFRS13, Dodd Frank, OTC regulation

Counterparty Risk and Risk Mitigation

  • The nature of Counterparty risk
  • CVA
  • Risk mitigation methods
  • The ISDA Master Agreement and CSA
  • Netting
    • Payment netting
    • Close out netting
    • Trade compression
  • Termination and Resets
  • Use of Collateral
    • IM, VM, CSAs, effects on exposure, haircuts
    • Regulatory requirements for OTC margin - BCBS D317
    • SIMM
  • Default Remote Entities
  • CCPs
    • Operation
    • Default management
    • Capital requirements for cleared trades

12.15 - 13.15 Lunch Break

13.15 - 17.00

Credit Exposure

  • Metrics: EPE, PFE etc.
  • Drivers of exposure
  • Credit Risk, Funding Risk and Collateral
  • Three approaches to modelling exposure: parametric, semi-analytical and Monte Carlo
  • Use of Monte Carlo methods for IMM
  • Incorporation of netting and collateral into models

Default Probabilities, Credit Spreads and Funding

  • Default Probabilities
  • Actuarial and market implied PDs
  • Credit curves
  • Funding curves, capital costs and FTP

09.00 - 12.15

Credit Risk Stress Testing

  • The Basel Framework
  • Stressed market risk factors
  • Stressed PDs and LGDs


  • CVA: Credit Valuation Adjustments
    • CVA allocation
  • DVA: Debit Valuation Adjustments
    • Accounting and regulatory views of DVA
  • BCVA: Bilateral CVA
  • FVA: Funding Valuation Adjustments
    • Link between FVA and DVA
  • MVA: Margin Valuation Adjustments
  • KVA: Capital Valuation Adjustments
  • ColVA
    • Discounting
    • Collateral valuation adjustments

Wrong Way Risk

  • Overview
  • Quantification and modelling approaches
  • Calibrating "Alpha"

12.15 - 13.15 Lunch Break

13.15 - 17.00

Capital Requirements and regulation

  • Background to Pillar 1 capital requirements for market and credit risk
    • Standardised approach and IRB for credit risk capital requirements
  • EAD for regulatory capital
    • CEM
    • Standardised Approach for Counterparty Credit Risk (SA-CCR)
    • IMM
  • Basel III
    • CVA capital charge
    • Review of CVA capital
  • Finalising Basel III, d424 and d507
    • Reduced BA-CVA
    • Full-CVA
    • Revised Standardised Approach
  • Draft Revised CRD and CRR - 2016

Training catalogue in PDF
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