Counterparty risk and SA-CCR

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.

Tutors

Michael Gutsche

Management consulting

sfth GmbH

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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. 

Dr Horst Kausch

Partner and head of research

Basinghall Analytics

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Horst specialises in risk modelling at financial institutions as well as model risk, with expertise across the full lifecycle and risk architecture. He is an experienced risk professional with a strong focus on model risk across the full spectrum of risk models for regulatory capital and impairments. He is able to communicate complex technical issues in an effective manner to prudential regulators and senior decision makers. He has a proven record of translating strategy into practical solutions delivered with highly engaged distributed teams. He is a frequent speaker for Risk Learning on diverse topics such as integrating ESG into model risk management, model risk management, and counterparty risk and SA-CCR.

 

Claudio Albanese

Founder

Global Valuation

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With over 25 years of experience in quantitative finance, Claudio is the founder and CEO of Global Valuation Ltd, a leading consultancy firm that provides valuation, risk management, and advisory services to financial institutions, corporates, and regulators. He is also a former professor of mathematical finance at Imperial College London and associate professor of mathematics at University of Toronto, where he taught and researched various topics in computational finance, derivatives, and stochastic processes. He has multiple publications in prestigious journals and conferences, and he has developed and implemented innovative models and methods for pricing, hedging, and optimising complex financial instruments and portfolios. 

Accreditation

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

A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.