Download - CCR training program outline
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Training Program for CCR (Contents)
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1. Introduction
• Risk and Uncertainty Definition • Risk Types Quiz: In which category does each of these risk fall? • Valuation & Risk Management Approaches Case Study: Barings Bank • Counterparty Credit Risk (CCR) • CCR in Back To Back Deals • History of Financial Crisis • Reasons of Risk • Lessons Learnt Case Study: Bear Stearns Summary for Chapter 1 Quiz
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2. Credit Exposure
• Credit losses and CVA • How to Measure Exposure: EE, IE, ME • CE Calculation, Credit Mitigation and Methodologies • Counterparty exposures • Models of Collateral • Netting • Simulating CE • Alternative Ways to Calculate CE • How Does Counterparty Risk Arises • Typical Derivatives Market & CCPs • Credit Support Annex • Central Counterparties CCPs • Advantages & Disadvantages of CCPs Summary for Chapter 2 Quiz
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3. Exposure Profiles
• Exposure Profiles • Potential Future Exposure • PFE – Calculation Methodologies • Monte Carlo Simulation • PFE of Different Instruments • Expected Exposure & Expected Positive Exposure • EE calculation under Netting • Effective Expected Exposure & Effective Expected Positive Exposure • How All Measures are Related? • Tools From This Section Quiz
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4. Credit Support Annex. (CSA)
• Master Document • Credit Support Annex. (CSA) • Sections of a Legal Document • Margining, Thresholds, & Credit Support Amount • Netting • Simple Netting Example • How Netting Sets Are Created? • Collateral Management • Tools From This Section Quiz
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5. Credit Valuation Adjustment (CVA)
• History of CVA • CVA Pyramid • CVA – Defined • Components of CVA • CVA – Calculation Steps • Concept Illustration • Economic Intuition • Role of CVA Desk • CVA – Detailed Workflow • Drivers of CVA • CVA Strategies • Perspective About CVA • Data Requirements for CVA
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•Technical Requirement for CVA •CVA Analytics •CVA Reporting •CVA Pricing •CVA Formula Implementation •BASEL About CVA •Standardized Method To Calculate CVA •Advanced Method To Calculate CVA •CVA Capital Charge – Industry Challenges •Tools From This Section Quiz
5. Credit Valuation Adjustment (CVA)
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6. CVA Allocations
• CVA Contributions from EE Contributions • EE Contributions for Netting Sets • Euler Allocation • EE Contributions for netted exposures • EE Contributions for Collateralized Netting Sets • Instantaneous Collateral Model • Lagged Collateral Model • Simulating CVA Contributions • Computing CVA Contributions under a Normality Assumption Examples Summary Quiz
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7. Wrong Way Risk
• WWR and Concentration • Specific WWR • General WWR • Tools From This Section Quiz
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8. Regulatory Requirements for CCR
• Grid of BASEL III changes • BASEL III changes • How do components fit in together • BASEL III for CCR • BASEL for CVA • Standardized Methodology for CVA • Advanced Methodology for CVA • Tools From This Section Quiz
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9. Advanced Topics in Mathematics
• Distributions and Metrics • Random Walk Process • Differential Equations • Expected Value
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9. Algorithms and Programing
• Algorithms • In Matlab • In Excel • In SAS
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11. PrevioRisk Guide
• Creating New Transaction • Computing Exposure Profiles • Calculating CVA • Marginal Exposures