Counterparty Credit Risk and CVA

Counterparty and Credit Risks have become one of the key financial risks to identify and manage in the banking industry and other financial institutions. The analysis of Counterparty in Credit risk is an essential component in Risk and Profitability Management. Moreover, the identification of Current and Future Credit Exposures is driven by both counterparty and market financial analysis elements. Credit Exposures must be efficiently managed and minimized by usually employing credit limit approaches.

The role of Credit Enhancements plays critical role on measuring the real credit exposures. The difficulties for evaluating when and how the gross exposure is recovered, bringing in the credit risk analysis many challenges.

Rating Counterparties Credit spreads and probability of defaults are still considered open issues with unclear and even less accepted approaches and analytical techniques. Moreover, the correlation between the counterparties and credit risk with the market risk factors and behaviour elements is also fuzzy.

Stochastic based Credit VaR approaches have been mainly used for identifying and measure credit financial risks; however, stress testing that is based on deterministic assumptions, is becoming more and well acceptable by institutions and regulators. The implementation of Credit Value Adjustment Approaches is one of the hottest topics in credit risk analysis. More than ever practitioners are based in both Static Analysis and Dynamic Simulation. The latter is employed under going concern status where the credit characteristic of the counterparty is changing together with the evolution of the market conditions. The integration of Credit Risk with other types of risks is becoming an important element in financial risk management process.

In this 2-day masterclass, the above issues will be presented and discussed extensively; more importantly, corresponding real cases will show how and when to align all theoretical aspects with practical implementation issues.

Top Learning Objectives

  • Effectively define and articulate a comprehensive liquidity risk appetite and operationalize it into the day to day risk taking activities
  • Redefine Liquidity stress testing scenarios and assumptions to the extent required, such as in a Black swan event scenario
  • Develop an effective and plausible contingency plan to ensure continuity, viability and effectiveness
  • Design and build an allocation framework for liquidity that is acceptable to various business units
  • Understand and learn about all relevant liquidity risk measures that are being adapted to reflect the newly created complexities of modern financial markets
  • Gain in-depth knowledge on key areas of fund transfer pricing, stress testing, contingent planning and the new regulatory requirements under Basel III

Who Should Attend?

All those that have essential knowledge on financial profitability and risk management, involved in designing and implementing Counterparty, Credit risk management as well as practitioner in ALM and Basel II / ICAAP framework. Investment Banks, Financial Services Providers, Brokerage Firms, Hedge Funds, Consultancies and Solution Providers should also attend this training workshop. More analytically the following professionals should attend this event:

  • Counterparty and Credit Risk Managers
  • Credit Exposure Managers
  • Collateral Managers
  • Financial Risk Managers
  • Financial Risk Analysts
  • Financial Engineers
  • Quantitative Analysts
  • Chief Risk Officers (CRO)
  • ALM Managers

Event Details

13th – 14th May
Makati, Philippines