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CREDIT AND COUNTERPARTY RISK (CCR)
 
     
  Summary Description  
  In this workshop participants learn to quantify counterparty risk with regard to market transactions, master Credit Valuation Adjustment (CVA) techniques as well as counterparty risk hedging.  
     
  Methodology  
  Presentations, case studies, group work and classroom discussion  
     
  Target Audience  
  Relationship managers, credit review officers  
     
  Main Topics  
 
Introduction to credit and counterparty risk
- Definition, corporate bond analogy, netting and collateral mitigation,
   CVA measurement
Exposure measurement
- Current vs. future exposure, Expected exposure (EE), potential future,
   potential future exposure (PFE) and other exposure metrics
Credit default swaps (CDS)
- Mechanics and trading credit, pricing, credit spread- probability of default,
   loss given default (LGD), expected loss (EL)
  CDS basis
Credit-linked notes
CVA
- Principle and computation, portfolio effects, bilateral CVA, debit
   value adjustments (DVA), and wrong-way risk
CVA hedging
- Risk components, static and dynamic hedging - CDS, Contingent Credit
   Default Swap (CCDS), DVA hedging, Cross-terms and wrong-way risks
 
       
 
  Duration  
  2 to 3 days  
     
   
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