Advanced Counterparty Credit Risk and CVA Framework

This comprehensive programme addresses the advanced aspects of counterparty credit risk (CCR) management, including the implementation of the Standardised Approach for Counterparty Credit Risk (SA-CCR) and Credit Valuation Adjustment (CVA) frameworks. Participants will develop expertise in exposure measurement, netting and collateral recognition, and CVA calculation methodologies. The course addresses the interaction between SA-CCR, CVA, and FRTB frameworks, providing integrated understanding of these complex regulatory requirements.

The programme emphasises practical implementation challenges for SME banks with derivative exposures, including wrong-way risk identification, collateral management, and the capital implications of different CVA approaches. Special attention is given to the interaction between these frameworks and the operational complexities of managing counterparty credit risk in practice.

Participants will:

• Master SA-CCR exposure calculation methodologies and implementation
• Understand CVA framework requirements and calculation approaches
• Implement effective netting and collateral management frameworks
• Navigate wrong-way risk identification and management
• Integrate SA-CCR and CVA with broader risk management frameworks
• Optimise derivative strategies within regulatory capital constraints

• Counterparty Credit Risk Framework
  • CCR vs. traditional credit risk: key differences and challenges
  • Regulatory evolution from Basel II to Basel III
  • SA-CCR development and calibration principles
  • CVA framework objectives and structure
• SA-CCR Methodology and Implementation
  • Replacement cost calculation and recognition
  • Potential Future Exposure (PFE) determination
  • Add-on calculations by asset class
  • Netting set identification and collateral treatment
• CVA Framework and Calculation
  • Standardised CVA approach (SA-CVA)
  • Basic CVA approach (BA-CVA)
  • CVA risk capital calculation methodologies
  • Hedging recognition and effectiveness testing
• Advanced CCR Topics
  • Wrong-way risk identification and quantification
  • Collateral management and optimisation
  • Central clearing and client clearing frameworks
  • Margin requirements and initial margin models
• Integration and Optimisation
  • Interaction with FRTB and market risk frameworks
  • Capital optimisation and business strategy implications
  • Systems and operational requirements
  • Stress testing and scenario analysis