Counterparty Credit Risk - Online

This course explains important elements of credit risk in different derivative products and how to measure it. This course analyses case studies related to derivatives credit risk.

This is an online self study course that can be globally accessed 24/7 from any internet enabled computer. Access is for 91 days. Certificates with credits earned will be awarded upon successful completion.

Available TodayOnlineUSD$225
Instructional Method:
Self-Study
Level: Basic

ICB CREDITSICPAS CREDITS
12.754.5
Credit officers, credit administrators and derivative salesmen and traders
Students will be able to:
  • Understand techniques for measuring credit risk for derivative products
  • Utilize techniques for the mitigation of pre-settlement/settlement risks
Basic financial knowledge is assumed.
  • Credit Ratings - Online
  • Corporate Credit Analysis - Online
  • Overview of Credit Portfolio Risk Management - VIRTUAL RECORDING
  • Credit Analysis - Online
  • Credit Derivatives - Online
    • Overview of Derivative Products I
    Topics covered include:
    • Introduction to derivatives
    • Forward contracts and FRAs
    • Futures contracts
    • Margin concepts
    • Interest rate and currency swaps
    Duration 1 hour

    Overview of Derivative Products II
    Topics covered include:
    • Basics of options
    • American and European options
    • Basic trading strategies involving options
    • Advanced trading strategies involving options
    Duration: 1.5 hours

    Credit Exposure
    Topics covered include:
    • Credit exposure and its classifications
    • Probability of default
    • Recovery rate
    • Methods to measure recovery rates
    Duration: 1 hour

    Credit Risk in Derivative Products
    Topics covered include:
    • Swaps
    • Forward Rate Agreements
    • Options
    Duration: 1 Hour

    Pre-settlement and Settlement Risk
    Topics covered include:
    • Concept of pre-settlement risk
    • Concept of settlement risk
    • Methods to measure and mitigate these risks
    Duration: 1 hour

    Netting
    Topics covered include:
    • Various types of netting arrangements
    • Regulatory requirements for netting
    • Capital treatment of netting contracts
    Duration: 1 Hour

    Margin and collateral requirement
    Topics covered include:
    • Margin account
    • Terminology used in margin account
    • Collateral requirements
    • Haircut
    Duration: 1 hour

    Monte Carlo Simulation
    Topics covered include:
    • Applications of Monte Carlo Simulation approach for evaluating credit risk
    • Process of measuring Credit Exposure of derivative instruments using this approach
    Duration: 1 Hour

    Case Studies
    Topics covered include:
    • Barings Bank’s fall
    • Metallgesellschaft
    Duration: 1.5 Hours

    JOB AIDS & Take-aways
    • Disclosures
    • Regulations
    • Benchmarking Template
    • Measurement Tools
    • Global Best Practices
    • References

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