Counterparty Risk Management

What You Will Learn

• 1 Learn the fundamental concepts and types of counterparty risk in financial markets.
• 2 Understand the regulatory frameworks governing counterparty risk, including Basel III and SA-CCR.
• 3 Apply methods to measure current exposure, potential future exposure, and expected positive exposure.
• 4 Analyze credit valuation adjustment (CVA) and debit valuation adjustment (DVA) and their impact on pricing.
• 5 Implement collateral management strategies including initial margin, variation margin, and optimization.
• 6 Explore central clearing mechanisms and the role of central counterparties (CCPs) in risk mitigation.
• 7 Evaluate netting, compression, and other risk reduction techniques.
• 8 Assess counterparty risk in derivatives, securities financing, and over-the-counter markets.
• 9 Develop stress testing and scenario analysis for counterparty credit risk.
• 10 Understand the integration of counterparty risk into enterprise-wide risk management and capital allocation.