Workshops Structure

4 live sessions held once a week for 3hrs

These sessions will include short breaks, case studies, exercises, and Q & A sessions.
All sessions will be recorded and uploaded to the eLearning platform.
Delegates will have licensed access to these recordings as well as eLearning material, workbooks & slides.

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Next starting date: 15 August 2023

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Key Learning Outcomes

  • Understand

    The need for the application of CVA/DVA/FVA (xVA) techniques and capital charges in a Bank Derivatives business.

    The role of the Credit Support Annex (CSA)

    The concepts of Premium, Recovery and Default Risk.

    The differences between PFE, EE, EEPE

  • Analyse

    The funding issues associated with bilateral CSA mechanisms.

    The mechanics for Single Name and Index Credit Default Swaps.

    CDS Default Event Trigger Mechanisms.

    Pricing of Single Name Credit Default Swaps (Hazard Rate Model).

    Analyse and model the credit profiles associated with common derivatives products such as FX Forwards, Interest Rate and Cross Currency Swaps

  • Calculate and Apply

    Calculate the capital charges associated with Counterparty Credit Risk.

    Apply the concepts of Collateral Thresholds (TH), Minimum Transfer Amounts (MTA), Replacement Costs (RC)

Course curriculum

    1. Congrats! Here's what's next...

    2. Before you go...

About this course

  • $649.00
  • 12h of live facilitator led sessions
  • Supporting workbooks & slides
  • Access replays and course materials for 30 days after last live session

Who should enrol?

The workshop is oriented to professionals working in credit risk, including credit risk officers in banks, insurance companies, pension funds and other investors taking significant credit exposure.

  • Rating agencies

  • Financial and Investment Analysts

  • Regulators

  • Securitisation and structured finance analysts

  • Chief Financial Officers

  • Credit risk staff at banks and other financial institutions

Instructor

Who you will learn with

Gary van Vuuren

Course Director

Gary is a qualified Quantitative Analyst specialising in Quantitative modelling covering market and credit risk, financial instrument pricing, structured finance, Basel II + III + IV, validation of credit models and credit risk analysis. Gary was also a lecturer for three London Universities and 3 South African Universities. He has written several publications in international journals on various contemporary topics.

Garys, specialities lie in the follwoing areas General quantitative analysis and the teaching thereof, Portfolio risk management/asset management and performance analytics, Basel II Pillar 1, Pillar 2 (capital charges) modelling, Basel III, Basel IV, economic capital, General quantitative model construction & validation, Nuclear physics.

Social proof: testimonials

“It was very insightful and has a ton of key lessons to pick up from and utilize in the real world.”

Olerile Segaetsho | FNB Botswana

“Go for it. A wealth of knowledge awaits you.”

Grace Newa | KCB Group

“Fantastic course, would definitely recommend.”

Gachara Ng’ang’a | Stanbic IBTC

“Truly beneficial. Andrew is an encyclopedia ”

Karabo Lekwana | Rand Merchant Bank

“Very detailed and informative. The facilitator knows his subject matter.”

Rael Ndinda Mukiti | KCB Group