Industry expert Jon Gregory, has developed this course based on the
PRMIA CCRM handbook and his book, The xVA Challenge, 3rd Edition.
In
this comprehensive course, Jon Gregory will expertly guide you through:
- Understanding the nature of credit and counterparty risks
- Reviewing the
various financial products that give rise to credit and counterparty
risks
- Understanding the nature of collateral and security and its impact
on credit risk
- Gaining a thorough understanding of OTC derivatives
documentation and its historical development
- Understanding the nature of
counterparty risk and the situations in which it can arise
- Learning about
the impact of risk mitigants such as netting and collateral on
counterparty risk
- Understanding the nature of portfolio credit risk and
how the concepts of reserves and capital fit in
- Knowing how a lack of
understanding of credit portfolio risk and securitization played a major
role in the last financial crisis
- Understanding the calculation on CVA
(credit value adjustment) and the use of CVA in financial institutions
- Learning about the impact of regulation and accounting on the management
of CVA
- Understanding the high-level software and system implications and
the different modeling choices for CVA
Gain an overview of other
components related to CVA such as FVA, KVA and MVAAs part of the PRMIA
Professional Certificate line-up, this course will prepare you for the
CCRM certificate exam, as well as equip you with the knowledge and tools
to implement meaningful risk assessment initiatives, produce useful
risk management information, and understand the key modeling techniques
for credit risk measurement.
Registration Fee:
Sustaining Members: $795.00 Contributing Members: $895.00 Free Affiliate and Non-members: $975.00
About the speaker:
Dr. Jon Gregory is an independent expert specialising in counterparty risk and xVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member for the Certificate of Quantitative Finance (CQF).
In addition to publishing papers on the pricing of credit risk and related topics, Jon is author of the book "Counterparty Credit Risk The New Challenge for the Global Financial Markets" published by Wiley Finance in December 2009 (now in its third edition) and "Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives." Jon has a PhD from Cambridge University.
PRMIA Continuing Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee.
The CRL program is open to all Contributing, Sustaining, and C-Suite members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center.
Recommended Total CRL: 12 hours (2 hours per session)
PRMIA is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be addressed to the National Registry of CPE Sponsors through its website: www.learningmarket.org.
Recommended Total CPE: 14.4 hours (2.2 hours per session)
Prerequisites: Basic financial markets knowledge
Advanced Prep: None
Program Level: Intermediate
Delivery Method: Group Internet-based
Field of Study: Finance