Calculating SA-CCR

Calculating SA-CCR
New Course! Standardized Approach for measuring Counterparty Credit Risk. This course takes a deep dive into the SA-CCR calculation for practitioners who need to implement the regulations.
 

 Dates
Course Period: October 19 - November 1, 2021
Lessons Launch: 
Each Tuesday beginning October 19, 2021
Instructor Access: 
October 19 - November 8, 2021

Time:
Self-paced

Presented by:
Elmarie van Breda
Director, FinRisk


 Session Length:
4 Lessons containing over 80 minutes of lecture
Excel Exercise, Knowledge Checks

 

About This Course
 

The course positions SA-CCR in the Basel framework and looks at the potential uses of SA-CCR’s calculated exposure at default (EAD) for counterparties. The course takes a deep dive into the calculation of SA-CCR in terms of exposure at default (EAD), Replacement cost (RC), potential future exposure (PFE), and AddOns explaining the detail per asset class down to hedging set and trade level. We also summarize the differences between BIS CRE52 framework and the EU SA-CCR regulation. The course concludes with a practical overview, input, and definition requirements which are pre-requisites to implementation.

Learning Objectives

  • Describe what SA-CCR is and where the resultants are used
  • Understand netting sets and Replacement cost (RC)
  • Apply levels of AddOn calculation when calculating PFE - netting sets, asset classes, hedging sets and trade level
  • Examine AddOn calculation per Asset Class
  • Differentiate between BIS CRE52 framework and EU SA-CCR regulation
  • Describe the inputs, definitions, interim results, and outputs of SA-CCR

 

How It Works

Lessons will be launched on Tuesdays. You have the opportunity to watch recordings, read related materials, work through exercises, and check your knowledge - all at your convenience and at your own pace. You also have the opportunity to ask the instructor questions and collaborate with peers in our online learning platform. Once all required elements of the course are completed, you can download or print a certificate of completion. Participants have access to the course materials for one year. Access to the instructor for questions and discussion ends November 8, 2021. 

 

Who Should Attend

This is an intermediate level course intended for:

  • Counterparty Credit practitioners at financial institutions
  • Head of Credit
  • Credit Risk Consultants
  • Credit Risk Academics
  • Credit Risk Advisors
 
Agenda
 Week   Topic
October 19
  Lesson 1: Why SA-CCR?
Lesson 2: Calculating SA-CCR
  • Calculations: Netting Sets and Replacement Costs
  • Calculations: PFE Overview
  • Asset Class AddOns
  • Illustrative Example of SA-CCR Calculation

 October 26
  Lesson 3: EU Regulation vs. BIS Basel Framework
Lesson 4: Practical Application: System Requirements (Pre-requisites to Implementation)


About Our Expert

  
  Elmarie Van Breda works globally in the banking industry and is currently director of FinRisk. She has held strategic leadership roles with Finastra, Standard Bank, GlaxoSmithKline, Predalgo, Aeriaq, Alloymin, and others. She has led diverse teams and clients with large geographic mandates in systems, improvements, risk management, data and mathematics. Elmarie is a Risk management expert in Credit risk, Market risk, IFRS9, ALM, and Liquidity. She is an experienced architect in the implementation of risk systems and how to use the results to manage sell-side financial risk. With her entrepreneurial spirit she has had involvement in 6 start-ups.

Elmarie holds a Computer Science degree from the University of Stellenbosch with post-graduate studies in Mathematical Statistics, Operations Research, and Financial Trading.

Continued Risk Learning Credits: 1.5

PRMIA Continued 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 Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email [email protected].

Registration
 Membership Type Price
   
 Member $ 269.00
 Non Member $ 299.00

If this is your first time accessing the PRMIA website you will need to create a short user profile to register. Save on registration by becoming a member.

 

Register Now

 
When
10/19/2021 - 11/1/2021
Where
Virtual Course
 

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