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 · Live 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
Do these programmes cover the Basel III final reforms and the ICAAP/ILAAP cycle?
Yes. The BIZENIUS banking curriculum is built around the Basel III endgame, ICAAP, ILAAP, IRRBB, IFRS 9 provisioning, stress testing and BCBS 239. Participants leave able to quantify the output floor on their own portfolios, write capital and liquidity documents that withstand supervisory review, and defend the numbers to their board.
Are the programmes adapted to regional supervisors such as SAMA, CBUAE or BCEAO?
Casework is built around supervisory documents rather than textbook theory, and faculty include former practitioners who have sat on both sides of an examination. Programmes address the questions SAMA, CBUAE, BCEAO and other home regulators actually put to the desk, and an in-house edition can be tailored to a single jurisdiction.
How do I secure a seat on a banking programme?
Apply for a seat or request the brochure from the programme page. A senior practitioner — not a sales team — responds within one business day, and the brochure arrives with that reply. BIZENIUS runs on enquiry: there is no online checkout.
Can a programme run in-house for our bank?
Every BIZENIUS programme can be delivered in-house, tailored to your balance sheet, your regulator and your data, in English or French. Many institutions start with an open cohort, then commission a private edition for the wider team.
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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.