Counterparty Credit Risk Management in Derivatives Masterclass
Counterparty credit risk in OTC derivatives — default risk, CVA, wrong-way risk and the mitigation toolkit, from ISDA-era documentation to capital calculations.
Format
Classroom · Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
Since IFRS 13 took effect in 2013, the fair value of a liability must reflect the risk of non-performance — including an entity’s own credit risk — which pulled counterparty credit risk out of the middle office and into the accounts. This programme focuses on the counterparty credit risk of OTC derivatives: not the pricing of the instruments, but the two characteristics that define CCR — the risk of counterparty default and the credit valuation adjustment — and the calculation of exposure across a portfolio of transactions. The cohort works through the major categories of derivative credit risk, how they differ from market risk and other credit risk types, and how derivatives appear on a client’s balance sheet.
What you will do
Who attends
- Corporate relationship managers and corporate loan originators
- Credit risk management, risk analytics and credit risk specialists
- Capital management, governance and regulatory compliance teams
- Auditors, credit heads and financial industry regulators
Programme agenda
Built for the decisions no textbook prepares you for
I.CCR foundations
- The major categories of derivative credit risk
- CCR versus market risk and other credit risk types
- How derivatives are reflected on the client’s balance sheet
- The background and evolution of counterparty risk recognition
II.CVA and wrong-way risk
- Credit value adjustments and their key role in pricing
- Wrong-way risk: impact on exposure and CVA measurement
- IFRS 13 and the fair value of non-performance risk
III.Mitigation and documentation
- Counterparty risk mitigation tools and their limitations
- OTC derivatives documentation and its historical development
- Methodologies to mitigate CCR in practice
IV.Measurement, stress and capital
- Calculating CCR across a portfolio of transactions
- Stress testing pre-settlement risk with worked examples
- Practical risk and capital calculations
- Accounting and regulatory requirements
Frequently asked
Does this course teach derivatives pricing?
No — deliberately. The programme focuses on the counterparty credit risk of OTC derivatives, not the pricing of the instruments: the two characteristics that define CCR — the risk of counterparty default and the credit valuation adjustment — and the calculation of exposure across a portfolio of transactions.
How are CVA and wrong-way risk covered?
Participants apply credit value adjustments including their key role in pricing derivatives and the accounting demands of IFRS 13 — under which the fair value of a liability must reflect non-performance risk, including an entity’s own credit risk — and trace wrong-way risk and its impact on exposure and CVA measurement.
What practical work does the masterclass include?
Stress testing pre-settlement risk with worked examples, practical risk and capital calculations meeting the accounting and regulatory requirements attached to them, and deploying the counterparty risk mitigation toolkit with its limitations understood — grounded in OTC derivatives documentation and its historical development.
Is the programme available in-house and in French?
Yes. An in-house edition is tailored to your derivative book and documentation, and delivered in English or French. Sessions run on a rolling calendar, with dates confirmed on request; fees and quotations are provided on enquiry.
Who teaches this
Practitioners, not presenters.
Led by practitioners who hold, or have held, the seats this programme prepares you for: group treasurers and heads of asset–liability management, chief risk officers, heads of credit and capital management, and former central-bank supervisors who examined the very frameworks they now teach. Between cohorts the same people advise banks on those frameworks, so what you learn is what is being defended in front of boards and regulators today.
What the bench brings
- Credit analysis, underwriting and structuring
- Credit policy design and portfolio diagnostics
- IFRS 9 expected credit loss and PD calibration
- SME and commercial banking credit
- Financial modelling, valuation and forecasting
- Treasury products and trading-book management
Where they have practised
Current and former practitioners — people who hold the seat today alongside those who have held it.
Sectors: Banking & financial services · Technology & fintech · Professional services · Insurance
Regions: Africa · the Middle East · Europe · Asia · the Americas
How they teach
- Live case studies from real institutions
- Worked exercises on realistic bank data
- Regulator-style challenge sessions
- Group problem-solving on realistic institutional cases
- Knowledge checks and a personal action plan
Cohorts are kept small so every exercise is worked on the participants’ own situations — in person or live virtual.
The faculty profile for your cohort is sent with the full agenda and the next dates when you enquire.Request brochure →
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In their words
Knowledge transfer, emphasised throughout
“We worked with BIZENIUS for our Fresh Graduates Programme — they are simply amazing. Knowledge transfer and practical learning were emphasised throughout.”
Kuwait Investment Authority
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Take the brochure with you.
One request — the full agenda, the faculty and the next cohort dates, sent personally by the admissions team.