Financial Products & Associated Risk Management

Credit Risk - Part 3



This eCourse consists of three modules on Counterparty Credit Risk (CCR). Module 1 analyses how CCR is generated within financial markets and shows how the scale of exposure can be initially assessed.

Module 2 describes some of the risk management tools and techniques in managing CCR, focusing on both settlement risk and pre-settlement risk. It also looks at how a CVA desk works and how it charges for its services. Finally, capital adequacy requirements and the regulatory perspective relating to CCR are examined.

Module 3 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'.


On completion of this course, you will be able to:
- Distinguish counterparty credit risk (CCR) from 'traditional' credit risk
- Identify the key sources of CCR
- Understand the key terms used in the measurement and calculation of CCR
- Describe the different tools and techniques used to manage CCR
- Explain the role of the CVA desk in CCR management
- Outline capital and regulatory perspectives in relation to CCR
- 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


Module 1: Counterparty Credit Risk (CCR) - An Introduction
Topic 1: Overview of CCR
Topic 2: Identifying Counterparty Credit Risk
Topic 3: Key Terms

Module 2: Counterparty Credit Risk (CCR) - Management
Topic 1: Managing Counterparty Credit Risk
Topic 2: The CVA Desk
Topic 3: capital Adequacy & Regulatory Perspectives

Module 3: Counterparty Credit Risk (CCR) – Measurement
Topic 1: Measuring CR
Topic 2: Credit Value Adjustment


SFC:3.00, PWMA:3.00