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.

  • 4 Hours 40 Hours of Learning
  • Learners 0.7K+ Learners
  • GST Derivatives 45,000 (incl. GST)

What You Will Learn

Model CCR exposures Apply SA-CCR framework Calculate CVA adjustments Build IMM-CVA models Identify WWR scenarios Run Monte Carlo PFE Assess EEPE for swaps

Skills You Will Learn

Skills
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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:
  • Time

    Self-paced
    Modules

  • Time

    Case studies

  • Time

    Assessments

  • Time

    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.

Infra

Master counterparty credit risk calculations with advanced simulation techniques and frameworks.

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