Derivative Transactions: Assessing Credit Exposures Workshop

FitchTraining
London, United Kingdom

Course Format: Classroom | E-learning | Virtual Class | Online | On-site | Blended | Self-paced

Course Description:

'' Participants will be equipped to:

Understand the various types of credit risk occurring in derivative products
Assess in detail the credit risks in interest rate, foreign exchange, credit derivative, and equity products
Structure derivative transactions to reduce credit risk
Analyse and reverse engineer complex derivative transactions to determine their credit risk
Calculate the credit risk of a portfolio of transactions.

This course covers the key aspects of derivative credit risk by combining (a) risk management theory, (b) methods of applying theory to day-to-day transactions, and (c) practical application of these techniques to complex transactions. The workshop is taught through a combination of lectures, exercises, and transaction analysis.

OVERVIEW

Defining the major categories of derivative credit risk
Assessing the approaches to identifying and measuring these risks
Comparing credit risk and market risk

PRODUCT ANALYSIS
Interest rate derivatives

Covering vanilla and structured interest rate swaps, caps, floors and swaptions
Understanding the IR credit risks and their risk drivers
Pre-Settlement Risk (“PSR� - a modular 3-step approach to calculating PSR
Examining common non-standard swap features and their impact on credit risk
Currency derivatives and foreign exchange
Covering FX forwards, cross currency swaps and FX options
Examining the credit risks, risk drivers and estimation approaches and comparing them to interest rate products
Settlement risk: definition and risk mitigation approaches
PSR - the approach to estimating PSR
Product structure comparisons and the impact on credit risk dynamics
Credit derivatives
Total return and protection products
The approach to calculating PSR

STRUCTURING TRANSACTIONS
Credit mitigation
Examining various credit enhancement techniques and their impact on credit risk
Assessing collateral types, amounts, and frequency of calling
Unbundling complex products
Structured approach to unbundling complex products
Real-life transaction case studies and group exercises
Aggregating derivative exposures
Understanding the key issues in exposure aggregation and how they can be overcome
Combining exposures while capturing portfolio effects
...''

Phone:+ 44 (0) 20 7201 2770

School Address:

28 Headfort Place, London, SW1X 7DH, United Kingdom.


Jobs & Resumes: London
Houses & Roommates: London
Travel Agencies: London

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