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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Managing and Modelling Counterparty Credit Risk

A structured live online course delivered over 4 half-day sessions

26-29 Oct 2019
Online, United States of America

Why You Should Attend

Managing and Modelling Counterparty Credit Risk

About the course:

This course is intended to provide an appreciation of the evolution of central counterparty clearing particularly in relation to the clearing of OTC derivatives. Particular focus will be given to regulatory initiatives to develop the use of CCPs for OTC derivatives clearing following the financial crisis of 2007/8, the risk mitigation mechanisms developed by CCPs in response to the regulatory challenge in particular the margin requirements, auction processes, loss allocation methods and of course capital requirements.

The course will look at risk transformation processes and the impact on risk that CCPs may have in future crises, both positive and negative, particularly in relation to counterparty credit risk and systemic risk.

The course is intended particularly for risk managers, traders, regulators and anyone involved with clearing systems.

Objective is for participants to gain an appreciation and understanding of the following topics:

The background and evolution of central counterparty (CCP) clearing

CCP margin frameworks

The default management process

The loss allocation waterfall

Key issues including: direct clearing, indirect client clearing, portability, segregation

Other related counterparty risk mitigation tools and their limitations

Systemic risk and extreme tail risk

Can a CCP fail? Some historical examples

Stress Testing a CCP and a recovery and resolution plan

The risk transformations CCPs generate

The implication of CCP clearing for XVA

About your expert trainer:

Gary now works as a consultant and trainer in bank risk and regulatory capital modelling but has extensive track record as a practitioner having worked in market, credit, operational and liquidity risk management. Gary has considerable experience with central counterparties, having sat on a number of CCP risk committees and carried out stress testing reviews. Over the years, Gary has worked both on the regulatory side (Bank of England, FSA and on Basel working groups) and for industry (HSBC, Morgan Stanley) toward shaping the new regulatory landscape.

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will beanalysedby the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Who should attend?

Analysts, Vice Presidents, Directors, Senior Managers in:

Risk Analytics

Credit Risk Management

Capital Management

Regulatory Compliance





Key Topics

  • An appreciation of the background and evolution of counterparty risk recognition
  • An understanding of counterparty risk mitigation tools
  • An understanding of systemic risk and extreme tail risk
  • Practical examples of risk and capital calculations
  • An introduction to central clearing

  • Why Choose GFMI marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

    Voice of Our Customers
    • "Gary was very flexible in delivery of content when faced with knowledgeable participants" BNP Paribas
    • "Overall very informative with experienced senior managers. Well done! BMO Harris
    • "Very good event, bringing together a very impressive group of experts" Scotiabank
    • "A great event for practitioners" Citi
    Join the Discussion

    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Kamelia Simeonova

    101 Finsbury Pavement, London, EC2A 1RS

    0044 203 002 3172
    Email: kamelias@marcusevansuk.com