Counterparty Credit Risk Management

This two-day programme will provide participants with issues and challenges surrounding counterparty credit risk in derivatives.

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Counterparty Credit Risk Management

19-20 June 2019 

Hong Kong
 

Register Now 

This two-day programme will provide participants with issues and challenges surrounding counterparty credit risk in derivatives. Our expert speakers will highlight two important characteristics of CCR: the risk of counterparty default and a credit valuation adjustment (CVA); and the calculation of counterparty credit risk of a portfolio of transactions. 

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John Greene

Head of Derivative Counterparty Exposure Management

ABSA GROUP LIMITED

John is the Head of Derivative Counterparty Exposure Management focussing on all aspects of Counterparty Credit Risk at Absa Group, an international financial services group, within the Corporate and Investment Banking division. John has over 14 years of financial services experience in Ireland, the UK and Africa across multiple asset classes and with a proven track record of successfully formulating and executing innovative risk strategies enabling banks to operate effectively and efficiently.

Denise Long

Director, Risk Advisory

DELOITTE

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Training
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Networking
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Group Discussion
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Learning Outcomes:
  • Get an overview of all aspects of counterparty credit risk (CCR) in OTC derivatives
     
  • Understand the methodologies to mitigate CCR and how it can be mitigated through netting and collateralisation
     
  • Explore the concept of wrong way risk and its impact on exposure and CVA measurement
     
  • Key role of CVA in pricing derivatives
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Who Should Attend:

Relevant departments may include but are not limited to:

  • XVA Desk
  • Capital Risk
  • Capital Planning
  • Treasury
  • Quantitative Research
  • Market Risk Management
  • Counterparty Risk Management
  • Quantitative Modelling