Counterparty risk and the SA-CCR
View AgendaKey reasons to attend
- Examine best practices for mitigating counterparty credit risk
- Understand and implement the standardised approach to counterparty credit risk (SA-CCR) framework
- Explore wrong-way risk (WWR) modelling approaches
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About the course
Since the 2021 Archegos collapse, the need for robust counterparty risk management has become increasingly clear. This course offers a comprehensive examination of counterparty risk, with an emphasis on the SA-CCR.
Participants will delve into the application of the SA-CCR, examining its limitations and impact on key financial instruments. The training will highlight best practices for mitigating counterparty credit risk, including detailed discussions on IM and WWR.
Expert practitioners will guide the group through case studies and practical examples, illustrating effective strategies for integrating counterparty risk into existing risk management frameworks. By the end of the course, attendees will be equipped to ensure compliance with evolving regulatory requirements and improve their firm’s risk management practices.
What participants say:
“Everything ran smoothly and on time. The content was very thought provoking and eye opening”
Pricing options*:
- Early-bird rate: save up to $800 per person by booking in advance
- 3-for-2 rate: save over $3,000 by booking a group of three attendees
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber
- Season tickets: save up to 60% - request price breakdown
*T&Cs apply
Learning objectives
- Understand the regulatory landscape
- Learn to calculate counterparty credit risk exposure using the SA-CCR framework
- Compare the internal models method to the standardised approach
- Assess how the SA-CCR impacts risk‑weighted assets
- Learn how to integrate counterparty credit risk into risk management frameworks
- Explore central clearing and bilateral margin requirements
Who should attend
Relevant departments may include but are not limited to:
- Counterparty risk
- Clearing
- Risk management
- Credit risk
- Regulatory compliance
- Collateral management
- Derivatives trading
- Quantitative analysis
- Market risk
- Model risk
Agenda
October 21–23, 2025
Live online. Timezone: 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)
Tutors:
- Michael Gutsche, Management consultant, sfth GmbH
- Panganai Gomo, Market risk manager, XVA risk, Investec
- Gaël Robert, Head of global risk analytics, Mizuho
Tutors
Michael Gutsche
Management consulting
sfth GmbH
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.
Gaël Robert
Deputy General Manager
Mizuho
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:
- More data urged for effective counterparty credit risk management
- Basel stops short on wrong-way risk
- Enhancing counterparty credit risk management in modern banking
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two articles.
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