Counterparty & Credit Risk Masterclass

Why Attend This Course?
Counterparty and Credit risks have become one of the key financial risks to identify and manage in the banking industry and other financial institutions. The analysis of Counterparty in Credit risk is an essential component in Risk and Profitability Management. Moreover, the identification of Current and Future Credit Exposures is driven by both counterparty and market financial analysis elements. Credit Exposures must be efficiently managed and minimized by usually employing credit limit approaches.

The role of Credit Enhancements plays critical role on measuring the real credit exposures. The difficulties for evaluating when and how the gross exposure is recovered, bringing in the credit risk analysis many challenges.

Rating Counterparties Credit spreads and probability of defaults are still considered open issues with unclear and even less accepted approaches and analytical techniques. Moreover, the correlation between the counterparties and credit risk with the market risk factors and behaviour elements is also fuzzy.

Stochastic based Credit VaR approaches have been mainly used for identifying and measure credit financial risks; however, stress testing that is based on deterministic assumptions, is becoming more and well acceptable by institutions and regulators. The implementation of Credit Value Adjustment Approaches is one of the hottest topics in credit risk analysis.

More than ever practitioners are based in both Static Analysis and Dynamic Simulation. The later is employed under going concern status where the credit characteristic of the counterparty is changing together with the evolution of the market conditions. The integration of Credit Risk with other types of risks is becoming an important element in financial risk management process.

In this training workshop, the above issues will be presented and discussed extensively; more importantly, corresponding real cases will shown how and when to align all theoretical aspects with practical implementation issues.

Cutting Edge Highlights:
The course is designed to combine theoretical and global best practices. It will explore Counterparty & Credit Risk Management issues in regards to:
• The role of Counterparty & Credit Risk in Financial Analysis
• Identify when and how Static Analysis in Counterparty & Credit Risk
   are employed
• When and how to use Dynamic Simulations for Counterparty and Credit
   Risk Management
• Definition and measurement of Current and Future Credit Exposures
• Manage and limit Credit Exposures
• Use all types of Credit Enhancements efficiently
• The Links and Correlations of Counterparty & Credit Risk Exposures to
   other Financial Risk factors
• Evaluate and consider Counterparty Credit Ratings
• Probability of Defaults and Credit Spreads
• Measuring Credit Risk
• Implementation of Counterparty & Credit Risk based on
   Stochastic Process
• Implementation and application of Credit Value Adjustment Approach
• Integration of credit with other types of risks
• Design Counterparty and Credit Risk stress scenarios
• Analysis of Credit Portfolio Losses by Measuring Counterparty &
   Credit Risk
• Complying with Counterparty and Credit Risk policies and regulations
• Reporting Counterparty Status and Credit Risk
• Counterparty / Credit Risk and ICAAP
• Case studies based on best practices for Liquidity Risk

Who should attend?
All those that have essential knowledge on financial profitability and risk management, involved in designing and implementing Counterparty, Credit risk management as well as practitioner in ALM and Basel II / ICAAP framework. Investment Banks, Financial Services Providers, Brokerage Firms, Hedge Funds, Consultancies and Solution Providers should also attend this training workshop.

More analytically the following professionals should attend this event:
• Counterparty and Credit Risk managers
• Credit Exposure managers
• Collateral managers
• Financial Risk managers
• Financial Risk analysts
• Financial engineers
• Quantitative analysts
• Chief Risk Officers (CRO)
• ALM managers
• Chief Financial Officers (CFO)
• Chief Information Officers (CIO)
• Treasurers
• Credit Risk Controllers
• Credit Limit Controllers and Managers
• Financial Auditors
• Regulators
• Bank examiners
• Board Advisors and Directors

About The Trainer
The trainer is a senior consultant in risk management working for one of the leading risk and regulatory solutions provider based in Zurich, Switzerland. He is also a visiting lecturer of Financial Analysis at Zürich University, bringing the knowledge and experience of financial industry to academia. He has work experiences worldwide in undertaking projects and cooperating with companies in Europe, USA and Asia on the topic of financial risk and profitability analysis.

He has vast experiences in consulting to the banking industry in risk and profitability management for companies such as IBM, SEB Skandinaviska Enskilda Banken, Invest bank, Bank of Piraeus, Mercury Interactive, Abu Dhabi Islamic Bank, Alpharma, and for many clients of FRSGlobal, including ABN-AMRO Bank, HBOS Halifax Bank of Scotland, DEXIA Crédit, Fortis Banque, Dubai Bank, Deutsche Postbank and many more. He has great expertise in designing financial models for counterparty and credit risk, liquidity risk, operational risk and ALM systems.