AIMS

The aim of the module is to help delegates navigate the credit pitfalls which can occur in otherwise straightforward seeming credits and more effectively work with credit sanctioners, specifically:

  • To explain the concepts of “wrong way round” risk and Potential Future Exposure (PFE), its measurement and typical profiles for different types of derivatives – futures, swaps and options;
  • To help delegates analyse corporate structures and understand the credit implications of transacting at different levels in a group – at holding companies, finance subsidiaries etc.;
  • To illustrate the mechanics of subordination on credit rating and its impact on recovery rates; and
  • To show delegates the impact of credit enhancements and of structural features in ISDAs like breaks and CSAs in improving credit risk (or not)

 

WHO SHOULD ATTEND?

  • Credit analysts
  • Product controllers
  • Trainee credit analysts
  • Corporate treasurers
  • Finance directors
  • New entrants
  • HR and training
  • Finance and accounting

 

CONTENT

  • Rating Agency methodologies – an overview?
  • Corporate structure – subordination, security and other credit enhancements – what is their impact?
  • Potential Future Exposure – derivation, volatility, maturity and Monte Carlo
  • Credit mitigation – CSAs, Margining and the impact of clearing houses.
  • External support.