Counterparty risk and SA-CCR

  • Quant and model risk, Treasury and capital markets risk
View Agenda

Key reasons to attend

  • Examine best practices for measuring and managing counterparty risk 
  • Gain an in-depth understanding of capital requirements regulations 
  • Identify and mitigate wrong-way risk (WWR) 

Find out more

Customised Solutions

Does your team require a tailored learning solution on this or any other topic?

Working with the portfolio of expert tutors and Risk.net’s editorial team, we can develop and deliver a customised learning to make the most impact for your team, from initial assessment to final review. 

Find out more

About the course

Leading industry experts will explain how they navigate counterparty risk frameworks and practices in times of volatility. Participants will enhance their understanding of how to manage counterparty risk as well as learn about the latest developments to the SA-CCR by evaluating the effect of risk-weighted assets. 

This learning opportunity will explore the mitigation of counterparty credit risk exposure, providing useful tools for the integration of ESG factors into counterparty risk frameworks. Participants will explore practical examples of the impact of counterparty risk and SA-CCR, its implementation timeline and current regulatory landscape. Interactive sessions connect the expert tutor and the participants through active discussion, Q&As and polls.


Pricing options:

  • Early-bird rate: save up to $800 per person by booking in advance (refer to the booking section for the deadline)
  • 3-for-2 rate: save over $2,000 by booking a group of three attendees (applicable to this course)
  • Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber (use code SUB30)
  • Season tickets: save over $1,000 per person by booking 10 or more tickets (available on selection of courses)

*The 30% subscriber reward discount is applicable only to current Risk.net subscribers. If this criteria is not met, we reserve the right to cancel the booking and issue an invoice for the correct rate. Discounts cannot be applied to already registered participants.

Learning objectives

  • Assess how the standardised approach for counterparty credit risk (SA-CCR) impacts risk-weighted assets 
  • Learn to calculate counterparty credit risk exposure using the SA-CCR framework 
  • Compare the internal models method to the standardised approach 
  • Use stress-testing results to identify vulnerable counterparties  
  • Contrast central clearing and bilateral margin requirements 
  • Understand how WWR affects margin requirements and credit valuation adjustments (CVAs) 

Who should attend

Relevant departments may include but are not limited to:

  • Counterparty risk
  • Clearing  
  • Credit risk  
  • Risk management  
  • Model risk  
  • Treasury 
  • Regulatory compliance 
  • Market risk 
  • Collateral management 
  • Derivatives trading 
  • Investment banking 
  • Quantitative analysis 
  • Internal audit 
  • Finance and accounting 
  • Fixed income  

Agenda

June 25–27, 2024

Live online. Timezones: Emea/Apac

Sessions:

  • Overview of counterparty risk
  • Integrating counterparty credit risk into risk management frameworks
  • Overview of the standardised approach for counterparty credit risk (SA-CCR)
  • Deep dive into the SA-CCR framework
  • Initial margin (IM)
  • Wrong-way risk (WWR)

 Request detailed agenda

Tutors

Michael Gutsche

Management consulting

sfth GmbH

View bio

Michael has over 20 years of professional experience. He currently advises customers as a project manager and subject matter expert on risk management, regulatory reporting and the implementation of new requirements in bank IT systems. 

Jon Gregory Risk Learning Faculty
View bio

Dr Jon Gregory is an independent expert specialising in counterparty risk and XVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member for the Certificate of Quantitative Finance (CQF).

In addition to publishing papers on the pricing of credit risk and related topics, Jon is author of the book Counterparty Credit Risk The New Challenge for the Global Financial Markets published by Wiley Finance in December 2009 (now in its third edition) and Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives.

Jon has a PhD from Cambridge University.

Dr Horst Kausch

Partner and head of research

Basinghall Analytics

View bio

Horst specialises in risk modelling at financial institutions as well as model risk, with expertise across the full lifecycle and risk architecture. He is an experienced risk professional with a strong focus on model risk across the full spectrum of risk models for regulatory capital and impairments. He is able to communicate complex technical issues in an effective manner to prudential regulators and senior decision makers. He has a proven record of translating strategy into practical solutions delivered with highly engaged distributed teams. He is a frequent speaker for Risk Learning on diverse topics such as integrating ESG into model risk management, model risk management, and counterparty risk and SA-CCR.

 

Claudio Albanese
View bio

Claudio Albanese works for Global Valuation Limited based in London.

Accreditation

This course is CPD (Continued Professional Development) accredited. One credit is awarded for every hour of learning at the event.

Pre-reading materials

The Risk.net resources below have been selected to enhance your learning experience:

  • ECB zeroes in on wrong-way risk as a key lesson of Archegos - Read article
  • Looking beyond SA-CCR - Read article
  • SA-CCR’s sacrifice: who stands to lose from new capital rules - Read article

Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.

Registration

June 25–27, 2024

Online, Emea/Apac

Price

$2,999

Early-bird Price

$2,199
Ends May 24
Book now

Enquire about:

  • Agenda and registration process
  • Group booking rates
  • Customisation of this programme
  • Season tickets options

Contact us

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here