Credit Derivatives - Correlation & Counterparty Risk

Gain insights into the corporate credit market dynamics, including the role of ratings agencies and the ratings process.

Delve into the credit triangle, relating credit spreads to default probability (PD), exposure (EAD), and expected recovery (LGD). Learn about CDS indices (iTRAXX and CDX), their mechanics, sub-indices, tranching, correlation, and the motivation for tranched products.

The course also includes counterparty risk in derivatives market where you learn how to managed and price Counterparty Credit Risk using real-world, practical examples

Understand key definitions of exposure, including Mark-to-Market (MTM), Expected Exposure (EE), Expected Positive Exposure (EPE), Potential Future Exposure (PFE), Exposure at Default (EAD), and Expected Loss (EL)

Explore the role of collateral and netting in managing counterparty risk, including the key features and mechanics of the Credit Support Annex (CSA)

Briefly touch upon other XVA adjustments, including Margin Valuation Adjustment (MVA), Capital Valuation Adjustment (KVA), and Collateral Valuation Adjustment (CollVA).

Credit traders and salespeople

Structurers

Asset managers

ALM and treasury (Banks and Insurance Companies)

Loan portfolio managers

Product control, finance and internal audit

Risk managers

Risk controllers

xVA desk

IT

Regulatory capital and reporting

To learn more about the day by day course content please request a brochure.

To learn more about schedule, pricing & delivery options speak to a course specialist now