counterparty-credit-risk

  1. Nicole Seaman

    P2.T6.24.24. Derivative Basics and Clearing

    Learning Objectives: Define derivatives and explain how derivative transactions create counterparty credit risk. Compare and contrast exchange-traded derivatives and over-the-counter (OTC) derivatives, and discuss the features of their markets. Describe the process of clearing a derivative...
  2. S

    SA-CVA : Basel III

    Hello David, I was going through Basel III finalisation and have found that the standard approach does not employ exposure at all in the calculation of CVA. 1. Does this mean SA-CVA will be will be in the form of spread which must be reduced from the price of a derivative? 2. Will be grateful...
  3. QuantMan2318

    Archegos Capital and Risk Management

    Hi Fellow Risk Managers and Aspiring Risk Managers The most recent event that has highlighted the importance of sound risk management at Banks is Archegos Capital. It was a classic case of Banks not focusing too much on Concentration, Collateral, Correlation and Counterparty Risk The other one...
  4. Nicole Seaman

    P2.T6.714. Wrong-way risk, counterparty credit risk (CCR) stress testing, and credit support annex

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  5. Nicole Seaman

    P2.T6.713. Exposure profiles and credit value adjustment (CCR CVA)

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  6. Nicole Seaman

    P2.T6.707. Stress testing counterparty exposures

    Learning objectives: Differentiate among current exposure, peak exposure, expected exposure, and expected positive exposure. Explain the treatment of counterparty credit risk (CCR) both as a credit risk and as a market risk and describe its implications for trading activities and risk management...
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