Counterparty Credit Risk Management

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


Counterparty Credit Risk Management

19-20 June 2019, Hong Kong


CPD Eligible - Earn 16 CPD points


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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. 

John Greene

Head of Derivative Counterparty Exposure Management


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


Denise is a Director within Deloitte Risk Advisory team, focusing on Governance, Risk and Regulatory Practice. She has extensive working experience in risk management and financial advisory. She specialises in risk management, strategy development, process change and product and marketing intelligence. She currently leads the Financial Risk Management area including credit risk, market risk, and liquidity risk management, covering model risk management (e.g. Basel, IFRS 9, Application and Behavioural scorecards), stress testing, risk data governance, risk reporting, credit approval and decision process, as well as monitoring, and control processes. She has also been involved in projects relating to IRRBB development and assessment, CCR, ICAAP review. She is fluent in English and Chinese (Cantonese and Mandarin), advanced in Japanese, and can speak intermediate-level Spanish.

Osamu Tsuchiya


Simplex Inc.

Osamu Tsuchiya is a Quantitative Analyst at Simplex Inc. He has worked for Dresdner Kleinwort and Citigroup as a rates and hybrid derivatives quant analyst. He has also worked for XVA modeling.

Additionally, he has experience working as a  financial risk management consultant for Ernst and Young.

Before moving to finance, Osamu worked in the field of mathematical physics. He holds a PhD in Theoretical and Mathematical Physics from The University of Tokyo. His book "The Practical Approach to XVA: The Evolution of Derivatives Valuation After the Financial Crisis" will be published this year.

Minjie Yu

Head of XVA Trading, Asia Pacific


Group Discussion
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
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