Counterparty Credit Risk
Wednesday, December 4
09.00 - 09.15 Welcome and Introduction
09.15 - 12.30
Background
- Brief background of the evolution of CCR up to 2008
- The 2008 crisis
- Political and regulatory responses, Basel III, EMIR, IFRS13, Dodd Frank, OTC regulation
- The ETD and OTC derivative markets
Overview of Counterparty Risk
- The nature of Counterparty risk
- Mitigation methods
A closer look at Risk Mitigation Methods
- The ISDA Master Agreement and CSA
- Netting
- Payment netting
- Close out netting
- Trade compression
- Termination and Resets
- Use of Collateral
- Regulatory requirements for OTC margin - BCBS D317
- SIMM
- Default Remote Entities
- CCPs
- Operation
- Default management
- Capital requirements for cleared trades
12.30 - 13.30 Lunch
13.30 - 17.00
Credit Exposure
- Metrics: EPE, PFE etc.
- Drivers of exposure
- Credit Risk and Funding Risk
- 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
Thursday, December 5
09.00 - 12.30
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
- Reduced BA-CVA
- Full-CVA
- Revised Standardised Approach
- Draft Revised CRD and CRR - 2016
12.30 - 13.30 Lunch
13.30 - 17.00
xVAs
- CVA: Credit Valuation Adjustments
- DVA: Debit Valuation Adjustments
- Accounting and regulatory views of DVA
- BCVA: Bilateral CVA
- FVA: Funding Valuation Adjustments
- MVA: Margin Valuation Adjustments
- KVA: Capital Valuation Adjustments
- ColVA
- Discounting
- Collateral valuation adjustments
Wrong Way Risk
- Overview
- Quantification and modelling approaches
- Calibrating "Alpha"
XVA Management and Optimisation
- Requirements for desks with internal model approval