Counter Party 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 from any internet enabled computer.

Available TodayOnlineUSD$200
Instructional Method:
Self-Study
Level: Basic
CPE Credits: 18

Credit officers, credit administrators and derivative salesmen and traders
Overview of derivatives products
  • Introduction to derivatives
  • Forward contracts and FRAs
  • Futures contracts
  • Margin concepts
  • Interest rate and currency swaps
  • Basics of options
  • American and European options
  • Basic trading strategies involving options
  • Advanced trading strategies involving options

Credit Exposure

  • Credit exposure and its classifications
  • Probability of default
  • Recovery rate and
  • Methods to measure them

Credit Risk in Derivative Products

  • Swaps
  • Forward Rate Agreements
  • Options

Pre-settlement and Settlement Risk

  • Concept of pre-settlement risk
  • Concept of settlement risk
  • Methods to measure and mitigate these risks

Netting

  • Various types of netting arrangements
  • Regulatory requirements for netting
  • Capital treatment of netting contracts

Margin and collateral requirement

  • Margin account
  • Terminology used in margin account
  • Collateral requirements

Monte Carlo Simulation

  • Applications of Monte Carlo Simulation approach for evaluating credit risk
  • Process of measuring Credit Exposure of derivative instruments using this approach

Case Studies

  • Barings Bank's fall
  • Metallgesellschaft

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