Derivatives Counterparty Credit Risk (New EU Regulation)

MNK Risk Consulting > CalendarEvents > Derivatives Counterparty Credit Risk (New EU Regulation)


Introduction – what is the credit exposure from a derivative trade? Scope of new regulation CCR in detail: · Netting Sets vs Hedging Sets · Exposure at Default and Risk Weighted Assets · Replacement Cost calculation · 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 Illustrations and Examples Presented by Dr. Marios Kyriacou

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December 16, 2020 (8:30 am) – December 16, 2020 (3:30 pm)

2, Promachon Eleftherias Street, Limassol 4103

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