Counterparty Credit Risk Management in Derivatives Masterclass
Counterparty credit risk in OTC derivatives — default risk, CVA, wrong-way risk and the mitigation toolkit, from ISDA-era documentation to capital calculations.
Format
Classroom · Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
Since IFRS 13 took effect in 2013, the fair value of a liability must reflect the risk of non-performance — including an entity’s own credit risk — which pulled counterparty credit risk out of the middle office and into the accounts. This programme focuses on the counterparty credit risk of OTC derivatives: not the pricing of the instruments, but the two characteristics that define CCR — the risk of counterparty default and the credit valuation adjustment — and the calculation of exposure across a portfolio of transactions. The cohort works through the major categories of derivative credit risk, how they differ from market risk and other credit risk types, and how derivatives appear on a client’s balance sheet.
What you will do
Who attends
- Corporate relationship managers and corporate loan originators
- Credit risk management, risk analytics and credit risk specialists
- Capital management, governance and regulatory compliance teams
- Auditors, credit heads and financial industry regulators
Programme agenda
Built for the decisions no textbook prepares you for
I.CCR foundations
- The major categories of derivative credit risk
- CCR versus market risk and other credit risk types
- How derivatives are reflected on the client’s balance sheet
- The background and evolution of counterparty risk recognition
II.CVA and wrong-way risk
- Credit value adjustments and their key role in pricing
- Wrong-way risk: impact on exposure and CVA measurement
- IFRS 13 and the fair value of non-performance risk
III.Mitigation and documentation
- Counterparty risk mitigation tools and their limitations
- OTC derivatives documentation and its historical development
- Methodologies to mitigate CCR in practice
IV.Measurement, stress and capital
- Calculating CCR across a portfolio of transactions
- Stress testing pre-settlement risk with worked examples
- Practical risk and capital calculations
- Accounting and regulatory requirements
Frequently asked
Does this course teach derivatives pricing?
No — deliberately. The programme focuses on the counterparty credit risk of OTC derivatives, not the pricing of the instruments: the two characteristics that define CCR — the risk of counterparty default and the credit valuation adjustment — and the calculation of exposure across a portfolio of transactions.
How are CVA and wrong-way risk covered?
Participants apply credit value adjustments including their key role in pricing derivatives and the accounting demands of IFRS 13 — under which the fair value of a liability must reflect non-performance risk, including an entity’s own credit risk — and trace wrong-way risk and its impact on exposure and CVA measurement.
What practical work does the masterclass include?
Stress testing pre-settlement risk with worked examples, practical risk and capital calculations meeting the accounting and regulatory requirements attached to them, and deploying the counterparty risk mitigation toolkit with its limitations understood — grounded in OTC derivatives documentation and its historical development.
Is the programme available in-house and in French?
Yes. An in-house edition is tailored to your derivative book and documentation, and delivered in English or French. Sessions run on a rolling calendar, with dates confirmed on request; fees and quotations are provided on enquiry.
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In their words
Knowledge transfer, emphasised throughout
“We worked with BIZENIUS for our Fresh Graduates Programme — they are simply amazing. Knowledge transfer and practical learning were emphasised throughout.”
Kuwait Investment Authority
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Take the brochure with you.
One request — the full agenda, the faculty and the next cohort dates, sent personally by the admissions team.