This course moves beyond the identification of counterparty credit risk and focuses on the way it is measured today, while understanding that 'the only constant is change'.
Description
In recent years, accounting regulations and regulatory oversight have mandated that firms measure and manage their CCR exposure. These requirements generate a significant burden as regards data aggregation and the creation of complex measurement models. In addition, a major organisational development has been the creation of 'CVA desks' dedicated to active management of CCR. Further, the financial crisis has ensured that regulatory developments, as well as measurement and management techniques, are constantly evolving in this area. This course moves beyond the identification of counterparty credit risk and focuses on the way it is measured today, while understanding that 'the only constant is change'.
Prior to completing this course it is recommended you undertake:
- Counterparty Credit Risk (CCR) - An Introduction
This online course forms part of the Intuition short course suite.
Learning objectives
- Describe how institutions calculate counterparty exposure
- Explain the key risks associated with securities loans
- Outline how institutions generate a 'fair' charge for their estimated credit exposure