Expansion and globalization of financial markets, complicated derivative contracts and an array of structured products are giving rise to counterparty credit risk.
This product focuses on the mechanics and techniques of the assessment, quantification and management of the credit risk for various derivative products and includes techniques for the mitigation of pre-settlement and settlement risk such as netting and margin and collateral requirements. We also look at the Monte Carlo simulation methods for projecting worst-case exposure at the portfolio level.
Learning Outcomes
LO1.Demonstarte an understanding of credit risk analysis and the quantitative and qualitative techniques for credit risk evaluation
LO2. Critically evaluate the use of credit derivatives and instruments in various business scenarios
LO3. Understand the implications of default risk, recovery risk and exposure risk on financial distress and bankruptcy.
LO4. Analyze the regulatory frameworks for credit risk management in the international context