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
- 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.