Credit and Counterparty Credit Risk

Credit and Counterparty Credit Risk Overview

“Credit and Counterparty Credit Risk” is designed to provide financial professionals with the expertise needed to effectively assess and manage credit risk within financial institutions. The course covers both borrower and counterparty credit risk, providing a comprehensive understanding of how to measure potential losses.

Learners will gain hands-on experience through Excel-based exercises, where they will calculate Expected Loss (EL) using Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD). The course also covers essential counterparty credit risk metrics such as Expected Future Exposure (EFE), Expected Exposure (EE), and Potential Future Exposure (PFE), with practical demonstrations to enhance understanding. By the end of the course, participants will be able to confidently apply these techniques to measure credit risk across various financial transactions.

Credit and Counterparty Credit Risk Learning Objectives

• Compare and contrast borrower credit risk and counterparty credit risk
• Measure borrower credit risk by calculating Expected Loss (EL) using Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD)
• Calculate the common counterparty credit risk metrics, namely Expected Future Exposure (EFE), Expected Exposure (EE), and Potential Future Exposure (PFE)
• List the various risk mitigation techniques for managing both borrower and counterparty credit risk

Who Should Take This Course?

This course is ideal for financial professionals, risk managers, analysts, and banking professionals who are involved in credit risk assessment, risk management, or financial market transactions. It is also highly beneficial for those looking to deepen their understanding of credit and counterparty risk management techniques, and for individuals preparing for roles that require expertise in assessing and mitigating credit risks within financial institutions.

Recommended Prerequisites

Math for Finance Professionals
Introduction to Risk Management
5 C’s of Credit
Derivatives Fundamentals