Approaches to Modelling and Managing Counterparty Risk (SA-CCR)

Incisive Training
Course summary
Length: 2 days
Price: 2,299 GBP excl. VAT
Location: London
Course type: Open / Scheduled

Course Description

Approaches to Modelling and Managing Counterparty Risk (SA-CCR)

Approaches to Modelling and Managing Counterparty Risk (SA-CCR) - 2 day Course

This two day course is designed to teach participants the approaches to managing counterparty risk, how to effectively implement SA-CCR and will feature presentations from industry experts. 

Since the financial crisis there have been a number of developments that have affected how counterparty credit risk is managed. The latest is the Standardised Approach to Counterparty Credit (SA-CCR) published in March 2014. With this new approach, financial institutions need to ensure that they can cope with effective pricing and managing of counterparty credit risk, and working towards the implementation deadline in 2017.  

At the end of the course, participants will have gained knowledge in:

  • Existing capital requirements under Basel III and CRDIV for cleared and non-cleared OTC transactions
  • The incoming changes to the regulatory landscape
  • The new SA-CCR method for calculating the Exposure at Default
  • Calculating CVA capital charges
  • Quantifying the capital benefit of an IMM framework vs. the new standardized approach SA-CCR
  • The latest techniques in computing KVA using real world examples
  • Operational challenges of increasing data input including integrating additional data into regulatory reporting

Suitability - Who should attend?

Specific companies who will benefit from attending include investment banks, financial services providers, asset managers, brokerage firms, hedge funds, consultancies and solutions providers.

Participants who will benefit are those who work in the following positions.

• Exposure management
• Risk Managers
• Credit risk and control
• Quantitative analysts 
• Risk Analysts
• Collateral management
• Traders
• Market Risk
• Portfolio Manager
• Regulatory/ Risk Reporting

Training Course Content

Day 1

Delivered by Dr Fabrizio Anfuso, Head of IB CCR Collateralised Exposure Modelling, Credit Suisse

Default and CVA Charges Under Basel III/CRDIV

  • Basic definitions and CCR metrics
  • Regulatory capital requirements for OTCs: Default and CVA charges
  • Existing regulatory methods for Default and CVA capital charges: CEM and standardized CVA methods with examples for realistic OTC portfolios

The New Standardized Method for EAD SA-CCR (Part I)

  • Introduction to the new method: concepts and formulae
  • Hedging sets, PFE, add-ons: detailed examples across all asset classes
  • Calibration of SA CCR: How far are we from a full re-pricing framework

The New Standardized Method for EAD SA-CCR (Part II)

  • How SA-CCR compares to CEM and Internal Model Methods (IMM)? benchmark study
  • Calculating the cost of future capital requirements (KVA) under SA-CCR
  • Discussion: capital cost vs. operational simplification

The New Standardized Method SA-CCR vs. New Regulations

  • BCBS-IOSCO Initial Margin: What is it and how is accounted for in SA-CCR
  • Introduction of capital floors: Ballpark impact of SA-CCR vs. IMM
  • Concluding remarks

Day 2

Changes in the Regulatory Landscape: CCR and Beyond 

  • Understanding the revisions to the CCR framework
  • Interactions with other regulatory frameworks (BCBS-IOSCO, FRTB)
  • Addressing shortcomings of the standardised approach and incoming capital floors 

Speaker: Andy Hudson, Traded Risk Advisory, Deloitte 

Effectively Pricing CCR Using KVA

  • A work in progress? Latest research and thinking on topic and how to calculate KVA and MVA
  • Aggregation of future capital for different types of risk 
  • Computing KVA - using SA-CCR? 
  • Impact of regulatory initiatives on XVA 

Speaker: Moez Mrad, Managing Director, Head of Credit and XVA Quantitative Research, Credit Agricole

    Adapting to Increasing Data Requirements Under SA-CCR

    • Requirements under SA-CCR including data inputs, calculation challenges and increased granularity
    • Mapping required trade information and capturing all asset classes 
    • Increasing data input - sub-class of asset classes, supervisory delta, correlation and volatility and margin threshold
    • Integrating additional data into regulatory reporting
    • Addressing operational challenges 

    Speaker: Arthur Rabatin, Head of Counterparty Credit and Funding Risk Technology, Deutsche Bank

    Capital Management

    • How can complying with SA-CCR achieve capital efficiency?
    • Developing strategies for capital management
    • Business benefits and financial impact of SA-CCR

    Speaker: Damon Batten, Senior Regulatory Advisor, Catalyst Development


    The cost of this course is £2,299 + VAT per participant. Enquire about early bird discount. In-House options are also available, contact Incisive Training for more information.

    Provider: Incisive Training

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