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Credit Risk in Derivatives Course

Aims

The aim of the module is to help delegates navigate the credit pitfalls which can occur in otherwise straightforward seeming credits and more effectively work with credit sanctioners, specifically:

  • To explain the concepts of “wrong way round” risk and Potential Future Exposure (PFE), its measurement and typical profiles for different types of derivatives – futures, swaps and options;
  • To help delegates analyse corporate structures and understand the credit implications of transacting at different levels in a group – at holding companies, finance subsidiaries etc.;
  • To illustrate the mechanics of subordination on credit rating and its impact on recovery rates; and
  • To show delegates the impact of credit enhancements and of structural features in ISDAs like breaks and CSAs in improving credit risk (or not)

Who should attend?

  • Credit analysts
  • Product controllers
  • Trainee credit analysts
  • Corporate treasurers
  • Finance directors
  • New entrants
  • HR and training
  • Finance and accounting

Content

  • Rating Agency methodologies – an overview?
  • Corporate structure – subordination, security and other credit enhancements – what is their impact?
  • Potential Future Exposure – derivation, volatility, maturity and Monte Carlo
  • Credit mitigation – CSAs, Margining and the impact of clearing houses.
  • External support.