Instructor: Dr Marios Kyriacou

Webinar’s Topics:

• Introduction
• Scope
• Requirements for CRR
  • Netting Sets vs Hedging Sets
  • Exposure at Default and Risk Weighted Assets
  • Replacement Cost
  • Potential Future Exposure calculation process
  • Allocation of Transactions to Hedging Sets
  • Add-Ons and Market Risk Adjustments for each asset class
  • Margin Agreements covering Multiple Netting Sets
• Requirements for Exposures to Central Counterparties
  • Qualifying Central Counterparties
  • Types of Exposures to Qualifying Central Counterparties
  • Clearing Member Exposures to Clients
  • Exposures as a client of clearing members
• Requirements for Risk Management Related to QCCPs
• Review and Audit Requirements
• Numerical examples for calculating EAP and Replacement Cost