In this eLearning module on Counterparty Credit Risk, you will be introduced to counterparty credit risk. You will learn about Credit Value Adjustment or CVA and the calculations of CVA from the pricing perspective. You will also learn the measurement of Counterparty Credit Risk.
Coverage and structure for eLearning module
Topic
Sub-topic
Introduction to Counterparty Credit Risk
Understanding Counterparty Credit Risk
Forms of Counterparty Credit Risk
Counterparty Credit Risk Management
Derivative Trading
Central Counterparty
Credit Value Adjustment
Credit Value Adjustment
Features of CVA from Pricing Perspective
Calculating CVA from Pricing Perspective
Measurement of Counterparty Credit Risk
RBI Guidelines Based on BCBS Guidelines for SA-CCR
Exposure at Default (EAD)
Margined vs Unmargined Transactions
Calculation of Repalcement Cost
Calculating Replacement Cost for Margined Transaction