Counterparty risk management and margin requirements

  • 4 days
  • Quant & model risk
  • 8 CPD points
View Agenda

Key reasons to attend

  • Understand best practice in CCP management

  • Focus on effects of margin requirements

  • Discuss models for counterparty credit risk management

Find out more

Customised Solutions

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About the course

CCPs have grown in systematic importance and understanding how they navigate risk management frameworks and practices in times of volatility is crucial.

Sessions will allow participants to develop their understanding of collateral management and optimisation, as well as best practices regarding typical onboarding challenges of initial margin requirements. Attendees will learn methods to prevent procyclicality and the impact of new margin requirements on traditional trading models. This virtual course will delve into mitigation of counterparty credit risk exposure, providing useful tools for the application of machine learning to manage counterparty credit risk.

Each 60-minute live session allows maximum participant engagement with the detailed content, as well as the opportunity to interact with speakers through live Q&A and polls.

Learning objectives

  • Employ effective CCP risk management practices in volatile markets

  • Apply best practices for counterparty credit risk management and exposures for banks

  • Confront the challenges associated with OTC fallouts

  • Discuss the uses of AI for managing counterparty credit risk

  • Understand how to treat CVAs under FRTB rules

  • Develop robust methods to manage initial margin and prevent procyclicality

Who should attend

Relevant departments may include but are not limited to:

  • Counterparty risk

  • Clearing

  • Credit risk

  • Risk management

  • Model risk

  • Fixed income

Agenda

November 7 - 10, 2022

Time zones: EMEA / Americas
Start time: 14.00 GMT / 9.00 EST
Finish time: 16.15 GMT / 11.15 EST

Sessions:

  • Risk management of CCPs

  • ESG factors for counterparty risk management 

  • Default management process

  • Counterparty credit risk management and exposures for banks

  • Using AI and machine learning to manage counterparty and credit risk 

  • Collateral management and optimisation

  • Global regulatory landscape of IM

  • Initial margin and CCP margin buffers

View detailed agenda

Tutors

  • Henry Burnman, Chief of staff– trading facilities and CCP management, HSBC
  • Chia Tan, Director, XVA and CCR model risk management, Bank of America Merill Lynch
  • Ignacio Ruiz, Head of counterparty credit risk measurement and analytics, Scotiabank

Accreditation

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

Registration

November 7 - 10, 2022

02:00 pm - 04:15 pm

Virtual

Price

$1,999

Earlybird Price

$1,799
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Enquire about:

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