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. 

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About the course

Since the 2021 Archegos collapse, the imperative for robust counterparty risk management has become increasingly clear. Led by industry experts, this course offers a thorough exploration of counterparty credit risk management, covering essential topics such as stress-testing and CVAs. With an emphasis on the SA-CCR, this training provides insights into its application, limitations and impact on key financial instruments such as uncollateralised swaps.

Participants will also learn about the emerging regulatory framework for WWR, centralised solutions and decentralised finance. An additional focus will be on IM with discussion of regulatory minimums and models.

Attendees will leave the course with the necessary knowledge and strategies to enhance the resilience and stability of their financial operations. 


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

October 1–3, 2024

Live online. Timezones: Emea/Americas

Sessions:

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

View detailed agenda

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

October 1–3, 2024

Online, Emea/Americas

Price

$2,999

Early-bird Price

$2,199
Ends August 30
Book now

Enquire about:

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

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