Mastering Counterparty Credit Risk: Advanced Strategies for Future-Proofing Your Career
You're not just managing risk. You’re carrying the weight of your institution’s resilience on your shoulders. One misstep, one overlooked exposure, and the domino effect can ripple across portfolios, balance sheets, and reputations. Market volatility is accelerating, counterparties are harder to assess, and regulators are tightening scrutiny. The pressure isn’t just from above. It’s from within-the nagging doubt: Do I really have the tools to stay ahead? The truth? Standard credit risk frameworks are no longer enough. They were built for a slower, more predictable era. Today’s environment demands precision, foresight, and strategic agility-skills that aren’t taught in traditional courses or gained through years of incremental experience. It’s time to stop learning on the job and start mastering the systems that define world-class risk management. Mastering Counterparty Credit Risk: Advanced Strategies for Future-Proofing Your Career is your structured, direct path from reactive assessment to proactive control. This isn’t theory. It’s a battle-tested methodology refined across global banks, hedge funds, and central counterparties. You’ll go from assessing one-off exposures to designing institutional-grade frameworks that anticipate risk, protect capital, and position you as a strategic decision-maker. Our graduates don’t just survive market shifts-they lead through them. One recently led a G20-tier bank’s migration to dynamic CVA stress testing, cutting model risk by 42% and earning a fast-track promotion to Senior Credit Strategist within six months of completing the program. Another redesigned valuation adjustments for a major European insurer, aligning XVA metrics with capital planning, now cited in board-level risk reports. This course delivers a complete, board-ready capability: you’ll design and document an institutional counterparty risk strategy from day one to implementation, complete with governance protocols, exposure controls, and stress scenarios that withstand auditor scrutiny. You’ll have everything needed to present with confidence, act decisively, and earn recognition as a trusted risk authority. Here’s how this course is structured to help you get there.Course Format & Delivery Details Designed for senior finance and risk professionals, this self-paced program delivers immediate online access to a fully comprehensive body of work that evolves with the market. There are no fixed start dates, no live sessions to schedule around, and no delays. Once enrolled, you begin when it makes sense for you, progress at your own pace, and retain full control over your learning journey. What You Receive
- A complete, professionally structured curriculum covering 80+ advanced topics in counterparty credit risk, from foundational mechanics to board-level implementation
- Lifetime access to all course materials, with ongoing updates released quarterly to reflect regulatory shifts, market innovations, and emerging best practices-free of charge
- 24/7 encrypted access from any device, with full mobile compatibility for studying during commutes, travel, or downtime between meetings
- Dedicated instructor support via structured feedback windows and assessment review, ensuring you don’t work in isolation
- A globally recognised Certificate of Completion issued by The Art of Service, enhancing your credibility with employers, regulators, and peers
Speed, Results & Practical Timelines
Most professionals complete the core framework in 4 to 6 weeks with 5 to 7 hours of weekly engagement. However, early results begin in days. Within the first module, you’ll have actionable templates to classify and tier counterparties using advanced scoring models. By week two, you’ll be running scenario adjustments on exposure profiles applicable to real portfolios. The full capability-strategy design, stress testing, and reporting architecture-can be implemented in under 90 days, even while working full time. Trust, Transparency & Risk Reversal
We understand your time is valuable and your standards are high. That’s why this program comes with a clear guarantee: if you complete the first three modules and find the content does not meet your expectations for depth, practicality, or professional relevance, you’re entitled to a full refund. No questions, no friction, no risk. This works even if you’ve spent years in credit risk but feel stuck applying outdated models to modern portfolios. Even if you’re transitioning from loan grading into structured derivatives exposure. Even if you’ve tried other programs that offered surface-level checklists instead of strategic frameworks. This course is built for professionals who demand real leverage, not just completion credits. After enrollment, you’ll receive a confirmation email. Your access details and entry portal will be delivered separately once the onboarding sequence is finalised-ensuring a secure, error-free connection to your materials. All pricing is straightforward and final, with no hidden fees or recurring charges. We accept Visa, Mastercard, and PayPal for secure, global transactions. Your reputation deserves tools that match your responsibility. This program doesn’t just teach you how to manage counterparty credit risk. It equips you to redefine how it’s managed in your organisation-safely, systematically, and with measurable impact.
Module 1: Foundations of Counterparty Credit Risk - Defining counterparty credit risk in modern financial markets
- Evolution from traditional lending risk to bilateral exposures
- Key drivers of counterparty risk: market volatility, correlation shifts, and funding stress
- Understanding the role of netting, collateralisation, and close-out mechanisms
- Legal enforceability of ISDA Master Agreements across jurisdictions
- The impact of credit valuation adjustment (CVA) on pricing and profitability
- Differentiating between pre-settlement and settlement risk
- Overview of major risk events: Lehman Brothers, AIG, and Archegos
- Linking counterparty risk to systemic stability and macroprudential policy
- Role of central counterparties (CCPs) and their risk mitigation tools
Module 2: Regulatory Frameworks & Compliance Requirements - Basel III and IV: capital requirements for counterparty credit risk (SA-CCR, CEM)
- Dodd-Frank, EMIR, and MiFID II: impact on OTC derivatives and reporting
- Uncleared margin rules (UMR) and phase-in thresholds
- Initial and variation margin compliance for in-scope firms
- FRTB and its implications for counterparty risk in trading desks
- Internal models approval process (IMA) and supervisory review
- CCP recovery and resolution regimes under the G20 framework
- Stress testing requirements under CCAR and EBA guidelines
- Regulatory capital treatment of credit derivatives and CDS
- Cross-border regulatory alignment challenges and equivalence assessments
Module 3: Exposure Measurement & Modelling Techniques - Current Exposure Method (CEM) vs Standardised Approach for CCR (SA-CCR)
- Calculating expected exposure (EE) and potential future exposure (PFE)
- Simulating exposure paths using Monte Carlo methods
- Time grid selection, tenor mapping, and granularity considerations
- Dealing with non-linear instruments: options, swaptions, and exotics
- Discounting, collateral, and margin period of risk (MPOR) assumptions
- Incorporating wrong-way risk into exposure profiles
- Backtesting exposure models: frequency, accuracy, and benchmarking
- Aggregation of exposures across products, counterparties, and entities
- Applications of machine learning in exposure forecasting
Module 4: Credit Valuation Adjustment (CVA) and XVA Frameworks - Mathematical foundations of CVA calculation
- Integration of credit curves, hazard rates, and default probabilities
- Discounting adjustments under IFRS 13 and FASB ASC 820
- Debit valuation adjustment (DVA) and its accounting implications
- Funding valuation adjustment (FVA): conceptual basis and debates
- Capital valuation adjustment (KVA) for regulatory capital cost inclusion
- Margin valuation adjustment (MVA) for UMR compliance costs
- Collateral rate adjustment (ColVA) in asymmetric funding environments
- XVA governance: pricing, hedging, and risk ownership
- XVA desks: organisational design and reporting lines
Module 5: Counterparty Risk Management Frameworks - Enterprise-wide counterparty risk governance models
- Three lines of defence implementation in risk oversight
- Setting and monitoring counterparty credit limits (CCLs)
- Concentration risk measurement and limit setting
- Exposure monitoring and threshold alerts
- Early warning indicators for counterparty instability
- Role of credit committees and delegated approval authorities
- Integrating market data feeds into risk dashboards
- Automated limit checking and override controls
- Escalation procedures for breached or near-breached exposures
Module 6: Collateral and Margin Management - Legal basis of Credit Support Annex (CSA) agreements
- Negotiating CSA terms: eligible collateral, thresholds, minimum transfer amounts
- Daily margin call generation and processing workflows
- Dispute resolution in collateral valuation disagreements
- Collateral optimisation: transformation, substitution, and reuse
- Rehypothecation rights and client asset segregation
- Custody and tri-party collateral arrangements
- Operational risk in collateral flows: fails, delays, tracking errors
- Collateral risk: haircuts, concentration, and liquidity stress
- Simulating margin call volatility under stress scenarios
Module 7: Stress Testing and Scenario Analysis - Designing forward-looking stress scenarios for CCR
- Integrating macroeconomic shocks into credit and exposure models
- Idiosyncratic shocks: counterparty-specific defaults and downgrades
- Correlation breakdowns during crisis periods
- Wrong-way risk under market stress: sectoral and currency effects
- Reverse stress testing: identifying vulnerabilities in portfolios
- Regulatory vs internal stress testing objectives
- Liquidity stress: collateral availability and margin call cascades
- Reporting stress results to risk committees and boards
- Using stress outputs for capital planning and limit adjustments
Module 8: Internal Ratings and Credit Analysis - Building internal rating systems for counterparty creditworthiness
- Scorecard design: financial, behavioural, qualitative, and ESG factors
- Mapping internal grades to PD, LGD, and EAD parameters
- Default definition consistency and calibration
- Backtesting rating performance: migration, default accuracy, stability
- Use of external ratings vs internally developed assessments
- Counterparty segmentation by sector, region, and business model
- Incorporating market-implied credit spreads into ratings
- Linking ratings to pricing and limit decisions
- Challenges in rating sovereigns, non-profits, and fintechs
Module 9: Advanced Hedging and Mitigation Strategies - Credit derivatives for counterparty risk transfer: CDS, TRS
- Credit-linked notes and synthetic securitisation structures
- Hedging CVA volatility using dynamic replication
- Portfolio diversification benefits across counterparties
- Hedging basis risk between hedging instruments and exposures
- Cost-benefit analysis of hedging vs capital absorption
- Use of options and knock-out structures for risk reduction
- Dynamic hedging strategies and rebalancing frequency
- Hedging in illiquid or constrained markets
- Capital relief vs economic risk reduction distinction
Module 10: Wrong-Way and Right-Way Risk - Defining wrong-way risk: positive correlation between exposure and default
- Examples: FX forwards with emerging market counterparties, energy swaps
- Structural wrong-way risk: product design flaws amplifying risk
- Behavioural wrong-way risk: strategic counterparty actions under stress
- Quantifying wrong-way risk: stress multipliers, model adjustments
- Use of proxy models and expert judgement in measurement
- Right-way risk: negative correlation for capital relief opportunities
- Regulatory treatment under SA-CCR and internal models
- Auditor expectations for documenting wrong-way risk assessments
- Building early detection systems for emerging wrong-way dynamics
Module 11: Central Counterparties and Clearing Exposure - Role of clearing houses in systemic risk reduction
- Default waterfall mechanics: variation margin, default fund, levies
- Mapping clearing member relationships and indirect exposures
- Concentration risk in CCPs: single counterparty, sector, or region
- Liquidity stress at CCPs and loss-given-default estimation
- DDP (Default Detection Point) and speed of auction execution
- Stress testing CCPs: multi-default, wrong-way, and fire-sale scenarios
- Cross-margining and portfolio compression benefits
- Reserve fund adequacy and contribution models
- Regulatory oversight of CCPs: recovery and resolution plans
Module 12: Technology and Data Infrastructure - Architecture of counterparty risk data warehouses
- Integration with trade capture, valuation, and risk systems
- Real-time vs batch processing of exposure data
- Data lineage and audit trails for regulatory reporting
- MiFID II and SFTR data reporting requirements
- Use of cloud platforms for scalable risk computation
- API integration for collateral and market data feeds
- Role of Distributed Ledger Technology (DLT) in trade transparency
- Automated reconciliation of internal and external exposure views
- Data quality KPIs and exception management workflows
Module 13: Model Risk and Validation - Principles of model risk management (SR 11-7)
- Independent model validation: scope, process, documentation
- Sensitivity analysis and benchmarking against alternative models
- Assumption testing: volatility, correlation, time to default
- Backtesting exposure and CVA models against actual outcomes
- Expert review panels for complex or novel models
- Version control and change management for risk models
- Audit readiness: evidence for model governance policies
- Challenges in validating machine learning-based models
- Regulatory expectations for challenger models and fallbacks
Module 14: Financial Statement and Disclosure Impact - IFRS 13 and disclosures for fair value measurements
- ASC 815 and hedge accounting implications for derivatives
- Reporting counterparty credit risk in Form 10-K and 20-F
- Qualitative disclosures: risk concentrations, mitigation strategies
- Quantitative disclosures: CVA, PFE, EAD, credit limits
- Role of MD&A in explaining risk trends and exposures
- Interaction between CCR and leverage ratio calculations
- Impact of CVA volatility on earnings and P&L
- Stress testing disclosures under CCAR and Pillar 3
- Interplay between accounting, tax, and capital treatments
Module 15: Implementation Roadmap and Certification - Building a project plan for enterprise-wide CCR framework rollout
- Stakeholder engagement: CFO, CRO, Treasury, Legal, IT
- Phased implementation: pilot, integration, scale-up
- Change management and training delivery strategies
- Designing executive dashboards for board-level reporting
- Documentation standards for audit and regulatory review
- Developing a risk culture around counterparty exposures
- Continuous improvement: feedback loops and KRI monitoring
- Preparation for regulatory examinations and inspections
- Submission of final project for Certificate of Completion issued by The Art of Service
- Defining counterparty credit risk in modern financial markets
- Evolution from traditional lending risk to bilateral exposures
- Key drivers of counterparty risk: market volatility, correlation shifts, and funding stress
- Understanding the role of netting, collateralisation, and close-out mechanisms
- Legal enforceability of ISDA Master Agreements across jurisdictions
- The impact of credit valuation adjustment (CVA) on pricing and profitability
- Differentiating between pre-settlement and settlement risk
- Overview of major risk events: Lehman Brothers, AIG, and Archegos
- Linking counterparty risk to systemic stability and macroprudential policy
- Role of central counterparties (CCPs) and their risk mitigation tools
Module 2: Regulatory Frameworks & Compliance Requirements - Basel III and IV: capital requirements for counterparty credit risk (SA-CCR, CEM)
- Dodd-Frank, EMIR, and MiFID II: impact on OTC derivatives and reporting
- Uncleared margin rules (UMR) and phase-in thresholds
- Initial and variation margin compliance for in-scope firms
- FRTB and its implications for counterparty risk in trading desks
- Internal models approval process (IMA) and supervisory review
- CCP recovery and resolution regimes under the G20 framework
- Stress testing requirements under CCAR and EBA guidelines
- Regulatory capital treatment of credit derivatives and CDS
- Cross-border regulatory alignment challenges and equivalence assessments
Module 3: Exposure Measurement & Modelling Techniques - Current Exposure Method (CEM) vs Standardised Approach for CCR (SA-CCR)
- Calculating expected exposure (EE) and potential future exposure (PFE)
- Simulating exposure paths using Monte Carlo methods
- Time grid selection, tenor mapping, and granularity considerations
- Dealing with non-linear instruments: options, swaptions, and exotics
- Discounting, collateral, and margin period of risk (MPOR) assumptions
- Incorporating wrong-way risk into exposure profiles
- Backtesting exposure models: frequency, accuracy, and benchmarking
- Aggregation of exposures across products, counterparties, and entities
- Applications of machine learning in exposure forecasting
Module 4: Credit Valuation Adjustment (CVA) and XVA Frameworks - Mathematical foundations of CVA calculation
- Integration of credit curves, hazard rates, and default probabilities
- Discounting adjustments under IFRS 13 and FASB ASC 820
- Debit valuation adjustment (DVA) and its accounting implications
- Funding valuation adjustment (FVA): conceptual basis and debates
- Capital valuation adjustment (KVA) for regulatory capital cost inclusion
- Margin valuation adjustment (MVA) for UMR compliance costs
- Collateral rate adjustment (ColVA) in asymmetric funding environments
- XVA governance: pricing, hedging, and risk ownership
- XVA desks: organisational design and reporting lines
Module 5: Counterparty Risk Management Frameworks - Enterprise-wide counterparty risk governance models
- Three lines of defence implementation in risk oversight
- Setting and monitoring counterparty credit limits (CCLs)
- Concentration risk measurement and limit setting
- Exposure monitoring and threshold alerts
- Early warning indicators for counterparty instability
- Role of credit committees and delegated approval authorities
- Integrating market data feeds into risk dashboards
- Automated limit checking and override controls
- Escalation procedures for breached or near-breached exposures
Module 6: Collateral and Margin Management - Legal basis of Credit Support Annex (CSA) agreements
- Negotiating CSA terms: eligible collateral, thresholds, minimum transfer amounts
- Daily margin call generation and processing workflows
- Dispute resolution in collateral valuation disagreements
- Collateral optimisation: transformation, substitution, and reuse
- Rehypothecation rights and client asset segregation
- Custody and tri-party collateral arrangements
- Operational risk in collateral flows: fails, delays, tracking errors
- Collateral risk: haircuts, concentration, and liquidity stress
- Simulating margin call volatility under stress scenarios
Module 7: Stress Testing and Scenario Analysis - Designing forward-looking stress scenarios for CCR
- Integrating macroeconomic shocks into credit and exposure models
- Idiosyncratic shocks: counterparty-specific defaults and downgrades
- Correlation breakdowns during crisis periods
- Wrong-way risk under market stress: sectoral and currency effects
- Reverse stress testing: identifying vulnerabilities in portfolios
- Regulatory vs internal stress testing objectives
- Liquidity stress: collateral availability and margin call cascades
- Reporting stress results to risk committees and boards
- Using stress outputs for capital planning and limit adjustments
Module 8: Internal Ratings and Credit Analysis - Building internal rating systems for counterparty creditworthiness
- Scorecard design: financial, behavioural, qualitative, and ESG factors
- Mapping internal grades to PD, LGD, and EAD parameters
- Default definition consistency and calibration
- Backtesting rating performance: migration, default accuracy, stability
- Use of external ratings vs internally developed assessments
- Counterparty segmentation by sector, region, and business model
- Incorporating market-implied credit spreads into ratings
- Linking ratings to pricing and limit decisions
- Challenges in rating sovereigns, non-profits, and fintechs
Module 9: Advanced Hedging and Mitigation Strategies - Credit derivatives for counterparty risk transfer: CDS, TRS
- Credit-linked notes and synthetic securitisation structures
- Hedging CVA volatility using dynamic replication
- Portfolio diversification benefits across counterparties
- Hedging basis risk between hedging instruments and exposures
- Cost-benefit analysis of hedging vs capital absorption
- Use of options and knock-out structures for risk reduction
- Dynamic hedging strategies and rebalancing frequency
- Hedging in illiquid or constrained markets
- Capital relief vs economic risk reduction distinction
Module 10: Wrong-Way and Right-Way Risk - Defining wrong-way risk: positive correlation between exposure and default
- Examples: FX forwards with emerging market counterparties, energy swaps
- Structural wrong-way risk: product design flaws amplifying risk
- Behavioural wrong-way risk: strategic counterparty actions under stress
- Quantifying wrong-way risk: stress multipliers, model adjustments
- Use of proxy models and expert judgement in measurement
- Right-way risk: negative correlation for capital relief opportunities
- Regulatory treatment under SA-CCR and internal models
- Auditor expectations for documenting wrong-way risk assessments
- Building early detection systems for emerging wrong-way dynamics
Module 11: Central Counterparties and Clearing Exposure - Role of clearing houses in systemic risk reduction
- Default waterfall mechanics: variation margin, default fund, levies
- Mapping clearing member relationships and indirect exposures
- Concentration risk in CCPs: single counterparty, sector, or region
- Liquidity stress at CCPs and loss-given-default estimation
- DDP (Default Detection Point) and speed of auction execution
- Stress testing CCPs: multi-default, wrong-way, and fire-sale scenarios
- Cross-margining and portfolio compression benefits
- Reserve fund adequacy and contribution models
- Regulatory oversight of CCPs: recovery and resolution plans
Module 12: Technology and Data Infrastructure - Architecture of counterparty risk data warehouses
- Integration with trade capture, valuation, and risk systems
- Real-time vs batch processing of exposure data
- Data lineage and audit trails for regulatory reporting
- MiFID II and SFTR data reporting requirements
- Use of cloud platforms for scalable risk computation
- API integration for collateral and market data feeds
- Role of Distributed Ledger Technology (DLT) in trade transparency
- Automated reconciliation of internal and external exposure views
- Data quality KPIs and exception management workflows
Module 13: Model Risk and Validation - Principles of model risk management (SR 11-7)
- Independent model validation: scope, process, documentation
- Sensitivity analysis and benchmarking against alternative models
- Assumption testing: volatility, correlation, time to default
- Backtesting exposure and CVA models against actual outcomes
- Expert review panels for complex or novel models
- Version control and change management for risk models
- Audit readiness: evidence for model governance policies
- Challenges in validating machine learning-based models
- Regulatory expectations for challenger models and fallbacks
Module 14: Financial Statement and Disclosure Impact - IFRS 13 and disclosures for fair value measurements
- ASC 815 and hedge accounting implications for derivatives
- Reporting counterparty credit risk in Form 10-K and 20-F
- Qualitative disclosures: risk concentrations, mitigation strategies
- Quantitative disclosures: CVA, PFE, EAD, credit limits
- Role of MD&A in explaining risk trends and exposures
- Interaction between CCR and leverage ratio calculations
- Impact of CVA volatility on earnings and P&L
- Stress testing disclosures under CCAR and Pillar 3
- Interplay between accounting, tax, and capital treatments
Module 15: Implementation Roadmap and Certification - Building a project plan for enterprise-wide CCR framework rollout
- Stakeholder engagement: CFO, CRO, Treasury, Legal, IT
- Phased implementation: pilot, integration, scale-up
- Change management and training delivery strategies
- Designing executive dashboards for board-level reporting
- Documentation standards for audit and regulatory review
- Developing a risk culture around counterparty exposures
- Continuous improvement: feedback loops and KRI monitoring
- Preparation for regulatory examinations and inspections
- Submission of final project for Certificate of Completion issued by The Art of Service
- Current Exposure Method (CEM) vs Standardised Approach for CCR (SA-CCR)
- Calculating expected exposure (EE) and potential future exposure (PFE)
- Simulating exposure paths using Monte Carlo methods
- Time grid selection, tenor mapping, and granularity considerations
- Dealing with non-linear instruments: options, swaptions, and exotics
- Discounting, collateral, and margin period of risk (MPOR) assumptions
- Incorporating wrong-way risk into exposure profiles
- Backtesting exposure models: frequency, accuracy, and benchmarking
- Aggregation of exposures across products, counterparties, and entities
- Applications of machine learning in exposure forecasting
Module 4: Credit Valuation Adjustment (CVA) and XVA Frameworks - Mathematical foundations of CVA calculation
- Integration of credit curves, hazard rates, and default probabilities
- Discounting adjustments under IFRS 13 and FASB ASC 820
- Debit valuation adjustment (DVA) and its accounting implications
- Funding valuation adjustment (FVA): conceptual basis and debates
- Capital valuation adjustment (KVA) for regulatory capital cost inclusion
- Margin valuation adjustment (MVA) for UMR compliance costs
- Collateral rate adjustment (ColVA) in asymmetric funding environments
- XVA governance: pricing, hedging, and risk ownership
- XVA desks: organisational design and reporting lines
Module 5: Counterparty Risk Management Frameworks - Enterprise-wide counterparty risk governance models
- Three lines of defence implementation in risk oversight
- Setting and monitoring counterparty credit limits (CCLs)
- Concentration risk measurement and limit setting
- Exposure monitoring and threshold alerts
- Early warning indicators for counterparty instability
- Role of credit committees and delegated approval authorities
- Integrating market data feeds into risk dashboards
- Automated limit checking and override controls
- Escalation procedures for breached or near-breached exposures
Module 6: Collateral and Margin Management - Legal basis of Credit Support Annex (CSA) agreements
- Negotiating CSA terms: eligible collateral, thresholds, minimum transfer amounts
- Daily margin call generation and processing workflows
- Dispute resolution in collateral valuation disagreements
- Collateral optimisation: transformation, substitution, and reuse
- Rehypothecation rights and client asset segregation
- Custody and tri-party collateral arrangements
- Operational risk in collateral flows: fails, delays, tracking errors
- Collateral risk: haircuts, concentration, and liquidity stress
- Simulating margin call volatility under stress scenarios
Module 7: Stress Testing and Scenario Analysis - Designing forward-looking stress scenarios for CCR
- Integrating macroeconomic shocks into credit and exposure models
- Idiosyncratic shocks: counterparty-specific defaults and downgrades
- Correlation breakdowns during crisis periods
- Wrong-way risk under market stress: sectoral and currency effects
- Reverse stress testing: identifying vulnerabilities in portfolios
- Regulatory vs internal stress testing objectives
- Liquidity stress: collateral availability and margin call cascades
- Reporting stress results to risk committees and boards
- Using stress outputs for capital planning and limit adjustments
Module 8: Internal Ratings and Credit Analysis - Building internal rating systems for counterparty creditworthiness
- Scorecard design: financial, behavioural, qualitative, and ESG factors
- Mapping internal grades to PD, LGD, and EAD parameters
- Default definition consistency and calibration
- Backtesting rating performance: migration, default accuracy, stability
- Use of external ratings vs internally developed assessments
- Counterparty segmentation by sector, region, and business model
- Incorporating market-implied credit spreads into ratings
- Linking ratings to pricing and limit decisions
- Challenges in rating sovereigns, non-profits, and fintechs
Module 9: Advanced Hedging and Mitigation Strategies - Credit derivatives for counterparty risk transfer: CDS, TRS
- Credit-linked notes and synthetic securitisation structures
- Hedging CVA volatility using dynamic replication
- Portfolio diversification benefits across counterparties
- Hedging basis risk between hedging instruments and exposures
- Cost-benefit analysis of hedging vs capital absorption
- Use of options and knock-out structures for risk reduction
- Dynamic hedging strategies and rebalancing frequency
- Hedging in illiquid or constrained markets
- Capital relief vs economic risk reduction distinction
Module 10: Wrong-Way and Right-Way Risk - Defining wrong-way risk: positive correlation between exposure and default
- Examples: FX forwards with emerging market counterparties, energy swaps
- Structural wrong-way risk: product design flaws amplifying risk
- Behavioural wrong-way risk: strategic counterparty actions under stress
- Quantifying wrong-way risk: stress multipliers, model adjustments
- Use of proxy models and expert judgement in measurement
- Right-way risk: negative correlation for capital relief opportunities
- Regulatory treatment under SA-CCR and internal models
- Auditor expectations for documenting wrong-way risk assessments
- Building early detection systems for emerging wrong-way dynamics
Module 11: Central Counterparties and Clearing Exposure - Role of clearing houses in systemic risk reduction
- Default waterfall mechanics: variation margin, default fund, levies
- Mapping clearing member relationships and indirect exposures
- Concentration risk in CCPs: single counterparty, sector, or region
- Liquidity stress at CCPs and loss-given-default estimation
- DDP (Default Detection Point) and speed of auction execution
- Stress testing CCPs: multi-default, wrong-way, and fire-sale scenarios
- Cross-margining and portfolio compression benefits
- Reserve fund adequacy and contribution models
- Regulatory oversight of CCPs: recovery and resolution plans
Module 12: Technology and Data Infrastructure - Architecture of counterparty risk data warehouses
- Integration with trade capture, valuation, and risk systems
- Real-time vs batch processing of exposure data
- Data lineage and audit trails for regulatory reporting
- MiFID II and SFTR data reporting requirements
- Use of cloud platforms for scalable risk computation
- API integration for collateral and market data feeds
- Role of Distributed Ledger Technology (DLT) in trade transparency
- Automated reconciliation of internal and external exposure views
- Data quality KPIs and exception management workflows
Module 13: Model Risk and Validation - Principles of model risk management (SR 11-7)
- Independent model validation: scope, process, documentation
- Sensitivity analysis and benchmarking against alternative models
- Assumption testing: volatility, correlation, time to default
- Backtesting exposure and CVA models against actual outcomes
- Expert review panels for complex or novel models
- Version control and change management for risk models
- Audit readiness: evidence for model governance policies
- Challenges in validating machine learning-based models
- Regulatory expectations for challenger models and fallbacks
Module 14: Financial Statement and Disclosure Impact - IFRS 13 and disclosures for fair value measurements
- ASC 815 and hedge accounting implications for derivatives
- Reporting counterparty credit risk in Form 10-K and 20-F
- Qualitative disclosures: risk concentrations, mitigation strategies
- Quantitative disclosures: CVA, PFE, EAD, credit limits
- Role of MD&A in explaining risk trends and exposures
- Interaction between CCR and leverage ratio calculations
- Impact of CVA volatility on earnings and P&L
- Stress testing disclosures under CCAR and Pillar 3
- Interplay between accounting, tax, and capital treatments
Module 15: Implementation Roadmap and Certification - Building a project plan for enterprise-wide CCR framework rollout
- Stakeholder engagement: CFO, CRO, Treasury, Legal, IT
- Phased implementation: pilot, integration, scale-up
- Change management and training delivery strategies
- Designing executive dashboards for board-level reporting
- Documentation standards for audit and regulatory review
- Developing a risk culture around counterparty exposures
- Continuous improvement: feedback loops and KRI monitoring
- Preparation for regulatory examinations and inspections
- Submission of final project for Certificate of Completion issued by The Art of Service
- Enterprise-wide counterparty risk governance models
- Three lines of defence implementation in risk oversight
- Setting and monitoring counterparty credit limits (CCLs)
- Concentration risk measurement and limit setting
- Exposure monitoring and threshold alerts
- Early warning indicators for counterparty instability
- Role of credit committees and delegated approval authorities
- Integrating market data feeds into risk dashboards
- Automated limit checking and override controls
- Escalation procedures for breached or near-breached exposures
Module 6: Collateral and Margin Management - Legal basis of Credit Support Annex (CSA) agreements
- Negotiating CSA terms: eligible collateral, thresholds, minimum transfer amounts
- Daily margin call generation and processing workflows
- Dispute resolution in collateral valuation disagreements
- Collateral optimisation: transformation, substitution, and reuse
- Rehypothecation rights and client asset segregation
- Custody and tri-party collateral arrangements
- Operational risk in collateral flows: fails, delays, tracking errors
- Collateral risk: haircuts, concentration, and liquidity stress
- Simulating margin call volatility under stress scenarios
Module 7: Stress Testing and Scenario Analysis - Designing forward-looking stress scenarios for CCR
- Integrating macroeconomic shocks into credit and exposure models
- Idiosyncratic shocks: counterparty-specific defaults and downgrades
- Correlation breakdowns during crisis periods
- Wrong-way risk under market stress: sectoral and currency effects
- Reverse stress testing: identifying vulnerabilities in portfolios
- Regulatory vs internal stress testing objectives
- Liquidity stress: collateral availability and margin call cascades
- Reporting stress results to risk committees and boards
- Using stress outputs for capital planning and limit adjustments
Module 8: Internal Ratings and Credit Analysis - Building internal rating systems for counterparty creditworthiness
- Scorecard design: financial, behavioural, qualitative, and ESG factors
- Mapping internal grades to PD, LGD, and EAD parameters
- Default definition consistency and calibration
- Backtesting rating performance: migration, default accuracy, stability
- Use of external ratings vs internally developed assessments
- Counterparty segmentation by sector, region, and business model
- Incorporating market-implied credit spreads into ratings
- Linking ratings to pricing and limit decisions
- Challenges in rating sovereigns, non-profits, and fintechs
Module 9: Advanced Hedging and Mitigation Strategies - Credit derivatives for counterparty risk transfer: CDS, TRS
- Credit-linked notes and synthetic securitisation structures
- Hedging CVA volatility using dynamic replication
- Portfolio diversification benefits across counterparties
- Hedging basis risk between hedging instruments and exposures
- Cost-benefit analysis of hedging vs capital absorption
- Use of options and knock-out structures for risk reduction
- Dynamic hedging strategies and rebalancing frequency
- Hedging in illiquid or constrained markets
- Capital relief vs economic risk reduction distinction
Module 10: Wrong-Way and Right-Way Risk - Defining wrong-way risk: positive correlation between exposure and default
- Examples: FX forwards with emerging market counterparties, energy swaps
- Structural wrong-way risk: product design flaws amplifying risk
- Behavioural wrong-way risk: strategic counterparty actions under stress
- Quantifying wrong-way risk: stress multipliers, model adjustments
- Use of proxy models and expert judgement in measurement
- Right-way risk: negative correlation for capital relief opportunities
- Regulatory treatment under SA-CCR and internal models
- Auditor expectations for documenting wrong-way risk assessments
- Building early detection systems for emerging wrong-way dynamics
Module 11: Central Counterparties and Clearing Exposure - Role of clearing houses in systemic risk reduction
- Default waterfall mechanics: variation margin, default fund, levies
- Mapping clearing member relationships and indirect exposures
- Concentration risk in CCPs: single counterparty, sector, or region
- Liquidity stress at CCPs and loss-given-default estimation
- DDP (Default Detection Point) and speed of auction execution
- Stress testing CCPs: multi-default, wrong-way, and fire-sale scenarios
- Cross-margining and portfolio compression benefits
- Reserve fund adequacy and contribution models
- Regulatory oversight of CCPs: recovery and resolution plans
Module 12: Technology and Data Infrastructure - Architecture of counterparty risk data warehouses
- Integration with trade capture, valuation, and risk systems
- Real-time vs batch processing of exposure data
- Data lineage and audit trails for regulatory reporting
- MiFID II and SFTR data reporting requirements
- Use of cloud platforms for scalable risk computation
- API integration for collateral and market data feeds
- Role of Distributed Ledger Technology (DLT) in trade transparency
- Automated reconciliation of internal and external exposure views
- Data quality KPIs and exception management workflows
Module 13: Model Risk and Validation - Principles of model risk management (SR 11-7)
- Independent model validation: scope, process, documentation
- Sensitivity analysis and benchmarking against alternative models
- Assumption testing: volatility, correlation, time to default
- Backtesting exposure and CVA models against actual outcomes
- Expert review panels for complex or novel models
- Version control and change management for risk models
- Audit readiness: evidence for model governance policies
- Challenges in validating machine learning-based models
- Regulatory expectations for challenger models and fallbacks
Module 14: Financial Statement and Disclosure Impact - IFRS 13 and disclosures for fair value measurements
- ASC 815 and hedge accounting implications for derivatives
- Reporting counterparty credit risk in Form 10-K and 20-F
- Qualitative disclosures: risk concentrations, mitigation strategies
- Quantitative disclosures: CVA, PFE, EAD, credit limits
- Role of MD&A in explaining risk trends and exposures
- Interaction between CCR and leverage ratio calculations
- Impact of CVA volatility on earnings and P&L
- Stress testing disclosures under CCAR and Pillar 3
- Interplay between accounting, tax, and capital treatments
Module 15: Implementation Roadmap and Certification - Building a project plan for enterprise-wide CCR framework rollout
- Stakeholder engagement: CFO, CRO, Treasury, Legal, IT
- Phased implementation: pilot, integration, scale-up
- Change management and training delivery strategies
- Designing executive dashboards for board-level reporting
- Documentation standards for audit and regulatory review
- Developing a risk culture around counterparty exposures
- Continuous improvement: feedback loops and KRI monitoring
- Preparation for regulatory examinations and inspections
- Submission of final project for Certificate of Completion issued by The Art of Service
- Designing forward-looking stress scenarios for CCR
- Integrating macroeconomic shocks into credit and exposure models
- Idiosyncratic shocks: counterparty-specific defaults and downgrades
- Correlation breakdowns during crisis periods
- Wrong-way risk under market stress: sectoral and currency effects
- Reverse stress testing: identifying vulnerabilities in portfolios
- Regulatory vs internal stress testing objectives
- Liquidity stress: collateral availability and margin call cascades
- Reporting stress results to risk committees and boards
- Using stress outputs for capital planning and limit adjustments
Module 8: Internal Ratings and Credit Analysis - Building internal rating systems for counterparty creditworthiness
- Scorecard design: financial, behavioural, qualitative, and ESG factors
- Mapping internal grades to PD, LGD, and EAD parameters
- Default definition consistency and calibration
- Backtesting rating performance: migration, default accuracy, stability
- Use of external ratings vs internally developed assessments
- Counterparty segmentation by sector, region, and business model
- Incorporating market-implied credit spreads into ratings
- Linking ratings to pricing and limit decisions
- Challenges in rating sovereigns, non-profits, and fintechs
Module 9: Advanced Hedging and Mitigation Strategies - Credit derivatives for counterparty risk transfer: CDS, TRS
- Credit-linked notes and synthetic securitisation structures
- Hedging CVA volatility using dynamic replication
- Portfolio diversification benefits across counterparties
- Hedging basis risk between hedging instruments and exposures
- Cost-benefit analysis of hedging vs capital absorption
- Use of options and knock-out structures for risk reduction
- Dynamic hedging strategies and rebalancing frequency
- Hedging in illiquid or constrained markets
- Capital relief vs economic risk reduction distinction
Module 10: Wrong-Way and Right-Way Risk - Defining wrong-way risk: positive correlation between exposure and default
- Examples: FX forwards with emerging market counterparties, energy swaps
- Structural wrong-way risk: product design flaws amplifying risk
- Behavioural wrong-way risk: strategic counterparty actions under stress
- Quantifying wrong-way risk: stress multipliers, model adjustments
- Use of proxy models and expert judgement in measurement
- Right-way risk: negative correlation for capital relief opportunities
- Regulatory treatment under SA-CCR and internal models
- Auditor expectations for documenting wrong-way risk assessments
- Building early detection systems for emerging wrong-way dynamics
Module 11: Central Counterparties and Clearing Exposure - Role of clearing houses in systemic risk reduction
- Default waterfall mechanics: variation margin, default fund, levies
- Mapping clearing member relationships and indirect exposures
- Concentration risk in CCPs: single counterparty, sector, or region
- Liquidity stress at CCPs and loss-given-default estimation
- DDP (Default Detection Point) and speed of auction execution
- Stress testing CCPs: multi-default, wrong-way, and fire-sale scenarios
- Cross-margining and portfolio compression benefits
- Reserve fund adequacy and contribution models
- Regulatory oversight of CCPs: recovery and resolution plans
Module 12: Technology and Data Infrastructure - Architecture of counterparty risk data warehouses
- Integration with trade capture, valuation, and risk systems
- Real-time vs batch processing of exposure data
- Data lineage and audit trails for regulatory reporting
- MiFID II and SFTR data reporting requirements
- Use of cloud platforms for scalable risk computation
- API integration for collateral and market data feeds
- Role of Distributed Ledger Technology (DLT) in trade transparency
- Automated reconciliation of internal and external exposure views
- Data quality KPIs and exception management workflows
Module 13: Model Risk and Validation - Principles of model risk management (SR 11-7)
- Independent model validation: scope, process, documentation
- Sensitivity analysis and benchmarking against alternative models
- Assumption testing: volatility, correlation, time to default
- Backtesting exposure and CVA models against actual outcomes
- Expert review panels for complex or novel models
- Version control and change management for risk models
- Audit readiness: evidence for model governance policies
- Challenges in validating machine learning-based models
- Regulatory expectations for challenger models and fallbacks
Module 14: Financial Statement and Disclosure Impact - IFRS 13 and disclosures for fair value measurements
- ASC 815 and hedge accounting implications for derivatives
- Reporting counterparty credit risk in Form 10-K and 20-F
- Qualitative disclosures: risk concentrations, mitigation strategies
- Quantitative disclosures: CVA, PFE, EAD, credit limits
- Role of MD&A in explaining risk trends and exposures
- Interaction between CCR and leverage ratio calculations
- Impact of CVA volatility on earnings and P&L
- Stress testing disclosures under CCAR and Pillar 3
- Interplay between accounting, tax, and capital treatments
Module 15: Implementation Roadmap and Certification - Building a project plan for enterprise-wide CCR framework rollout
- Stakeholder engagement: CFO, CRO, Treasury, Legal, IT
- Phased implementation: pilot, integration, scale-up
- Change management and training delivery strategies
- Designing executive dashboards for board-level reporting
- Documentation standards for audit and regulatory review
- Developing a risk culture around counterparty exposures
- Continuous improvement: feedback loops and KRI monitoring
- Preparation for regulatory examinations and inspections
- Submission of final project for Certificate of Completion issued by The Art of Service
- Credit derivatives for counterparty risk transfer: CDS, TRS
- Credit-linked notes and synthetic securitisation structures
- Hedging CVA volatility using dynamic replication
- Portfolio diversification benefits across counterparties
- Hedging basis risk between hedging instruments and exposures
- Cost-benefit analysis of hedging vs capital absorption
- Use of options and knock-out structures for risk reduction
- Dynamic hedging strategies and rebalancing frequency
- Hedging in illiquid or constrained markets
- Capital relief vs economic risk reduction distinction
Module 10: Wrong-Way and Right-Way Risk - Defining wrong-way risk: positive correlation between exposure and default
- Examples: FX forwards with emerging market counterparties, energy swaps
- Structural wrong-way risk: product design flaws amplifying risk
- Behavioural wrong-way risk: strategic counterparty actions under stress
- Quantifying wrong-way risk: stress multipliers, model adjustments
- Use of proxy models and expert judgement in measurement
- Right-way risk: negative correlation for capital relief opportunities
- Regulatory treatment under SA-CCR and internal models
- Auditor expectations for documenting wrong-way risk assessments
- Building early detection systems for emerging wrong-way dynamics
Module 11: Central Counterparties and Clearing Exposure - Role of clearing houses in systemic risk reduction
- Default waterfall mechanics: variation margin, default fund, levies
- Mapping clearing member relationships and indirect exposures
- Concentration risk in CCPs: single counterparty, sector, or region
- Liquidity stress at CCPs and loss-given-default estimation
- DDP (Default Detection Point) and speed of auction execution
- Stress testing CCPs: multi-default, wrong-way, and fire-sale scenarios
- Cross-margining and portfolio compression benefits
- Reserve fund adequacy and contribution models
- Regulatory oversight of CCPs: recovery and resolution plans
Module 12: Technology and Data Infrastructure - Architecture of counterparty risk data warehouses
- Integration with trade capture, valuation, and risk systems
- Real-time vs batch processing of exposure data
- Data lineage and audit trails for regulatory reporting
- MiFID II and SFTR data reporting requirements
- Use of cloud platforms for scalable risk computation
- API integration for collateral and market data feeds
- Role of Distributed Ledger Technology (DLT) in trade transparency
- Automated reconciliation of internal and external exposure views
- Data quality KPIs and exception management workflows
Module 13: Model Risk and Validation - Principles of model risk management (SR 11-7)
- Independent model validation: scope, process, documentation
- Sensitivity analysis and benchmarking against alternative models
- Assumption testing: volatility, correlation, time to default
- Backtesting exposure and CVA models against actual outcomes
- Expert review panels for complex or novel models
- Version control and change management for risk models
- Audit readiness: evidence for model governance policies
- Challenges in validating machine learning-based models
- Regulatory expectations for challenger models and fallbacks
Module 14: Financial Statement and Disclosure Impact - IFRS 13 and disclosures for fair value measurements
- ASC 815 and hedge accounting implications for derivatives
- Reporting counterparty credit risk in Form 10-K and 20-F
- Qualitative disclosures: risk concentrations, mitigation strategies
- Quantitative disclosures: CVA, PFE, EAD, credit limits
- Role of MD&A in explaining risk trends and exposures
- Interaction between CCR and leverage ratio calculations
- Impact of CVA volatility on earnings and P&L
- Stress testing disclosures under CCAR and Pillar 3
- Interplay between accounting, tax, and capital treatments
Module 15: Implementation Roadmap and Certification - Building a project plan for enterprise-wide CCR framework rollout
- Stakeholder engagement: CFO, CRO, Treasury, Legal, IT
- Phased implementation: pilot, integration, scale-up
- Change management and training delivery strategies
- Designing executive dashboards for board-level reporting
- Documentation standards for audit and regulatory review
- Developing a risk culture around counterparty exposures
- Continuous improvement: feedback loops and KRI monitoring
- Preparation for regulatory examinations and inspections
- Submission of final project for Certificate of Completion issued by The Art of Service
- Role of clearing houses in systemic risk reduction
- Default waterfall mechanics: variation margin, default fund, levies
- Mapping clearing member relationships and indirect exposures
- Concentration risk in CCPs: single counterparty, sector, or region
- Liquidity stress at CCPs and loss-given-default estimation
- DDP (Default Detection Point) and speed of auction execution
- Stress testing CCPs: multi-default, wrong-way, and fire-sale scenarios
- Cross-margining and portfolio compression benefits
- Reserve fund adequacy and contribution models
- Regulatory oversight of CCPs: recovery and resolution plans
Module 12: Technology and Data Infrastructure - Architecture of counterparty risk data warehouses
- Integration with trade capture, valuation, and risk systems
- Real-time vs batch processing of exposure data
- Data lineage and audit trails for regulatory reporting
- MiFID II and SFTR data reporting requirements
- Use of cloud platforms for scalable risk computation
- API integration for collateral and market data feeds
- Role of Distributed Ledger Technology (DLT) in trade transparency
- Automated reconciliation of internal and external exposure views
- Data quality KPIs and exception management workflows
Module 13: Model Risk and Validation - Principles of model risk management (SR 11-7)
- Independent model validation: scope, process, documentation
- Sensitivity analysis and benchmarking against alternative models
- Assumption testing: volatility, correlation, time to default
- Backtesting exposure and CVA models against actual outcomes
- Expert review panels for complex or novel models
- Version control and change management for risk models
- Audit readiness: evidence for model governance policies
- Challenges in validating machine learning-based models
- Regulatory expectations for challenger models and fallbacks
Module 14: Financial Statement and Disclosure Impact - IFRS 13 and disclosures for fair value measurements
- ASC 815 and hedge accounting implications for derivatives
- Reporting counterparty credit risk in Form 10-K and 20-F
- Qualitative disclosures: risk concentrations, mitigation strategies
- Quantitative disclosures: CVA, PFE, EAD, credit limits
- Role of MD&A in explaining risk trends and exposures
- Interaction between CCR and leverage ratio calculations
- Impact of CVA volatility on earnings and P&L
- Stress testing disclosures under CCAR and Pillar 3
- Interplay between accounting, tax, and capital treatments
Module 15: Implementation Roadmap and Certification - Building a project plan for enterprise-wide CCR framework rollout
- Stakeholder engagement: CFO, CRO, Treasury, Legal, IT
- Phased implementation: pilot, integration, scale-up
- Change management and training delivery strategies
- Designing executive dashboards for board-level reporting
- Documentation standards for audit and regulatory review
- Developing a risk culture around counterparty exposures
- Continuous improvement: feedback loops and KRI monitoring
- Preparation for regulatory examinations and inspections
- Submission of final project for Certificate of Completion issued by The Art of Service
- Principles of model risk management (SR 11-7)
- Independent model validation: scope, process, documentation
- Sensitivity analysis and benchmarking against alternative models
- Assumption testing: volatility, correlation, time to default
- Backtesting exposure and CVA models against actual outcomes
- Expert review panels for complex or novel models
- Version control and change management for risk models
- Audit readiness: evidence for model governance policies
- Challenges in validating machine learning-based models
- Regulatory expectations for challenger models and fallbacks
Module 14: Financial Statement and Disclosure Impact - IFRS 13 and disclosures for fair value measurements
- ASC 815 and hedge accounting implications for derivatives
- Reporting counterparty credit risk in Form 10-K and 20-F
- Qualitative disclosures: risk concentrations, mitigation strategies
- Quantitative disclosures: CVA, PFE, EAD, credit limits
- Role of MD&A in explaining risk trends and exposures
- Interaction between CCR and leverage ratio calculations
- Impact of CVA volatility on earnings and P&L
- Stress testing disclosures under CCAR and Pillar 3
- Interplay between accounting, tax, and capital treatments
Module 15: Implementation Roadmap and Certification - Building a project plan for enterprise-wide CCR framework rollout
- Stakeholder engagement: CFO, CRO, Treasury, Legal, IT
- Phased implementation: pilot, integration, scale-up
- Change management and training delivery strategies
- Designing executive dashboards for board-level reporting
- Documentation standards for audit and regulatory review
- Developing a risk culture around counterparty exposures
- Continuous improvement: feedback loops and KRI monitoring
- Preparation for regulatory examinations and inspections
- Submission of final project for Certificate of Completion issued by The Art of Service
- Building a project plan for enterprise-wide CCR framework rollout
- Stakeholder engagement: CFO, CRO, Treasury, Legal, IT
- Phased implementation: pilot, integration, scale-up
- Change management and training delivery strategies
- Designing executive dashboards for board-level reporting
- Documentation standards for audit and regulatory review
- Developing a risk culture around counterparty exposures
- Continuous improvement: feedback loops and KRI monitoring
- Preparation for regulatory examinations and inspections
- Submission of final project for Certificate of Completion issued by The Art of Service