Training Program for CCR (Contents)

1. Introduction

• Risk and Uncertainty Definition • Risk Types Quiz: In which category does each of these risk fall? • Valuation & Risk Management Approaches Case Study: Barings Bank • Counterparty Credit Risk (CCR) • CCR in Back To Back Deals • History of Financial Crisis • Reasons of Risk • Lessons Learnt Case Study: Bear Stearns Summary for Chapter 1 Quiz

2. Credit Exposure

• Credit losses and CVA • How to Measure Exposure: EE, IE, ME • CE Calculation, Credit Mitigation and Methodologies • Counterparty exposures • Models of Collateral • Netting • Simulating CE • Alternative Ways to Calculate CE • How Does Counterparty Risk Arises • Typical Derivatives Market & CCPs • Credit Support Annex • Central Counterparties CCPs • Advantages & Disadvantages of CCPs Summary for Chapter 2 Quiz

3. Exposure Profiles

• Exposure Profiles • Potential Future Exposure • PFE – Calculation Methodologies • Monte Carlo Simulation • PFE of Different Instruments • Expected Exposure & Expected Positive Exposure • EE calculation under Netting • Effective Expected Exposure & Effective Expected Positive Exposure • How All Measures are Related? • Tools From This Section Quiz

4. Credit Support Annex. (CSA)

• Master Document • Credit Support Annex. (CSA) • Sections of a Legal Document • Margining, Thresholds, & Credit Support Amount • Netting • Simple Netting Example • How Netting Sets Are Created? • Collateral Management • Tools From This Section Quiz

5. Credit Valuation Adjustment (CVA)

• History of CVA • CVA Pyramid • CVA – Defined • Components of CVA • CVA – Calculation Steps • Concept Illustration • Economic Intuition • Role of CVA Desk • CVA – Detailed Workflow • Drivers of CVA • CVA Strategies • Perspective About CVA • Data Requirements for CVA

•Technical Requirement for CVA •CVA Analytics •CVA Reporting •CVA Pricing •CVA Formula Implementation •BASEL About CVA •Standardized Method To Calculate CVA •Advanced Method To Calculate CVA •CVA Capital Charge – Industry Challenges •Tools From This Section Quiz

5. Credit Valuation Adjustment (CVA)

6. CVA Allocations

• CVA Contributions from EE Contributions • EE Contributions for Netting Sets • Euler Allocation • EE Contributions for netted exposures • EE Contributions for Collateralized Netting Sets • Instantaneous Collateral Model • Lagged Collateral Model • Simulating CVA Contributions • Computing CVA Contributions under a Normality Assumption Examples Summary Quiz

7. Wrong Way Risk

• WWR and Concentration • Specific WWR • General WWR • Tools From This Section Quiz

8. Regulatory Requirements for CCR

• Grid of BASEL III changes • BASEL III changes • How do components fit in together • BASEL III for CCR • BASEL for CVA • Standardized Methodology for CVA • Advanced Methodology for CVA • Tools From This Section Quiz

9. Advanced Topics in Mathematics

• Distributions and Metrics • Random Walk Process • Differential Equations • Expected Value

9. Algorithms and Programing

• Algorithms • In Matlab • In Excel • In SAS

11. PrevioRisk Guide

• Creating New Transaction • Computing Exposure Profiles • Calculating CVA • Marginal Exposures