Page 8 - MONECO Financial Training Catalogue
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COUNTERPARTY CREDIT RISK
        DATES: December 4 – 5, 2019 • PRICE: € 1,400 • LOCATION: Prague, NH Hotel Prague

        A comprehensive overview of counterparty credit risk.
        How you will benefi t:                      This course covers all aspects of counterparty credit risk (CCR) in OTC
        •  An appreciation of the background and   derivatives. A short background on the evolution of the OTC market
          evolution of counterparty risk recognition  and the recognition of CCR is followed by detailed discussions on
        •  An understanding of counterparty risk   netting, collateral, SIMM, measuring exposure, default probabilities
          mitigation tools and their limitations   and credit curves, regulatory capital requirements, risk intermediation
        •  An understanding of systemic risk and   and CCPs. CVA, DVA and the other valuation adjustments are also
          extreme tail risk                        covered along with wrong way risk.
        •  Practical examples of risk and capital
          calculations                             The course is intended particularly for risk managers, audit, and
        •  An introduction to central clearing     regulators and will include a number of practical exercises and
                                                   examples designed to make the course interactive. It will also look
        •    An appreciation of some of the
          contradictions in approaches, e.g.       at how different mitigation techniques may lead to new problems,
          between accounting and regulatory        for example central clearing, collateralisation and initial margin
          needs, and between different approaches   requirements.
          of fi rms.
        •  An understanding of XVA


                                                                                  30
                                               30
        WEDNESDAY, DECEMBER 4                12 –13 30                          12 –13 30
           00
         09 –09 15                           Lunch                               Lunch
                                               30
         Welcome and Introduction            13 –17 00                          13 –17 00
                                                                                  30
           15
         09 –12 30                           Credit Exposure                     xVAs
         Background                          •  Metrics: EPE, PFE etc.           •  CVA: Credit Valuation Adjustments
         •  Brief background of the evolution of    •  Drivers of exposure         –  CVA allocation
          CCR up to 2008                     •  Credit Risk and Funding Risk     •  DVA: Debit Valuation Adjustments
         •  The 2008 crisis                  •  Use of Monte Carlo methods for IMM     –  Accounting and regulatory views of
         •  Political and regulatory responses,    •  Incorporation of netting and collateral   DVA
          Basel III, EMIR, IFRS13, Dodd Frank,   into models                     •  BCVA: Bilateral CVA
          OTC regulation                                                         •  FVA: Funding Valuation Adjustments
                                              Default Probabilities, Credit
         •  The ETD and OTC derivative markets                                     –  Link between FVA and DVA
                                            Spreads and Funding
                                                                                 •  MVA: Margin Valuation Adjustments
         Overview of Counterparty Risk       •  Default Probabilities            •  KVA: Capital Valuation Adjustments
                                             •  Actuarial and market implied PDs
         •  The nature of Counterparty risk                                      •  ColVA
                                             •  Credit curves
         •  Mitigation methods                                                     –  Discounting
                                             •  Funding curves, capital costs and FTP
                                                                                   –  Collateral valuation adjustments
          A closer look at Risk Mitigation
         Methods                            THURSDAY, DECEMBER 5                 Wrong Way Risk
                                              00
                                            09 –12 30
         •  The ISDA Master Agreement and CSA                                    •  Overview
                                              Capital Requirements and regulation
         •  Netting                                                              •  Quantifi cation and modelling
                                             •  Background to Pillar 1 capital
           –  Payment netting                                                    approaches
                                              requirements for market and credit risk
           –  Close out netting                                                  •  Calibrating “Alpha”
                                               –  Standardised approach and IRB for
           –  Trade compression
                                               credit risk capital requirements
         •  Termination and Resets                                               XVA Management and Optimisation
                                             •  EAD for regulatory capital
         •  Use of Collateral                                                    •  Requirements for desks with internal
                                               –  CEM
           –  Regulatory requirements for OTC      –  Standardised Approach for   model approval
           margin - BCBS D317                  Counterparty Credit Risk (SA-CCR)
           –  SIMM                             –  IMM
         •  Default Remote Entities          •  Basel III
         •  CCPs                               –  CVA capital charge
           –  Operation                        –  Review of CVA capital
           –  Default management             •  Finalising Basel III, d424
           –  Capital requirements for cleared      –  Reduced BA-CVA
           trades                              –  Full-CVA
                                               –  Revised Standardised Approach
                                             • Draft Revised CRD and CRR – 2016


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