Counterparty Credit Risk: How Banks and Investment Firms Calculate Their Exposure and Capital Requirements

Home Events Counterparty Credit Risk: How Banks and Investment Firms Calculate Their Exposure and Capital Requirements

Counterparty Credit Risk: How Banks and Investment Firms Calculate Their Exposure and Capital Requirements

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

Date

Nov 19 2021
Expired!

Time

08:30 - 14:30

More Info

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Location

MS Teams
MNK Risk Consulting Ltd

Organizer

MNK Risk Consulting Ltd
Phone
+357 25508201
Email
stella.stylianou@mnkriskconsulting.com
Website
https://mnkriskconsulting.com/
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