Investment Banker
Counterparty Credit Risk using Excel & Python
Overview
Gain expertise in counterparty credit risk measurement with Excel & Python, covering SA-CCR, CVA frameworks, IMM-CVA, and Monte Carlo simulations for accurate portfolio exposure modelling.
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40 Hours of Learning
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0.7K+ Learners
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45,000 (incl. GST)
Skills You Will Learn
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Excel CCR modelling
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Python CCR simulations
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Basel III CCR compliance
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Exposure profile analysis
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CVA calculation methods
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WWR risk mitigation
Course Key Highlights
- Learn CCR exposures and global regulatory landscape in depth
- Master SA-CCR for both margined and unmargined portfolios
- Apply SA-CVA and BA-CVA for accurate CVA calculations
- Build internal CCR models using IMM-CVA methodology
- Identify and manage Wrong-Way Risk effectively
- Perform Monte Carlo PFE simulations for fixed income portfolios
Course Time
Includes:
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Self-paced
Modules -
Case studies
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Assessments
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40 Hours of Learning
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FAQs
What is the primary focus of this course?
The course focuses on modelling counterparty credit risk using Excel and Python under Basel III standards.
Does this include regulatory frameworks?
Yes, SA-CCR, SA-CVA, BA-CVA, and IMM-CVA frameworks are covered.
Will I learn Wrong-Way Risk management?
Yes, you will learn to identify and manage Wrong-Way Risk effectively.
Is Monte Carlo simulation part of the training?
Yes, you will perform Monte Carlo PFE simulations for portfolio exposures.
Can I apply this to swap portfolios?
Yes, the course includes PFE and EEPE modelling for swap portfolios.
