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Counterparty Credit Risk

 

In this eLearning module on Counterparty Credit Risk, you will be introduced to counterparty credit risk. You will learn about Credit Value Adjustment or CVA and the calculations of CVA from the pricing perspective. You will also learn the measurement of Counterparty Credit Risk.

 

Coverage and structure for eLearning module

 

Topic

Sub-topic

Introduction to Counterparty Credit Risk
  • Understanding Counterparty Credit Risk
  • Forms of Counterparty Credit Risk
  • Counterparty Credit Risk Management
  • Derivative Trading
  • Central Counterparty

Credit Value Adjustment
  • Credit Value Adjustment
  • Features of CVA from Pricing Perspective
  • Calculating CVA from Pricing Perspective

Measurement of Counterparty Credit Risk
  • RBI Guidelines Based on BCBS Guidelines for SA-CCR
  • Exposure at Default (EAD)
  • Margined vs Unmargined Transactions
  • Calculation of Repalcement Cost
  • Calculating Replacement Cost for Margined Transaction
  • Potential Future Exposure (PFA) Add-on
  • Supervisory Asset Classes
  • Netting and Hedging Asset
  • Multiplier for Reducing Over-Collateralisation
  • Steps to compute PFE Add-on

 

 

Module Fees: Rs. 2500/-                                  Access period: 3 months                                 Learning time: 3 hours

 

 

Steps to purchase

 

  • Go to CRISIL Learning platform https://training.crisil.com/
  • On https://training.crisil.com/ (CRISIL Learning platform) – sign up to create your unique login ID and password
  • Once your account is set up, search for "Counterparty Credit Risk" from the search bar
  • Select the e-learning module - Counterparty Credit Risk, and click on buy now; it will get added to your cart
  • Click on 'Cart' and purchase the module(s) with your debit or credit card
Detailed steps

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