Counterparty Credit Risk in Derivatives

Analytic overview: The aim of this section is to define the major categories of derivative credit risk, to differentiate them from both market risk and other credit risk types and to understand how derivatives are reflected on the balance sheet of clients. Derivative product categories: This segment of the course covers the major families of derivative products. It includes the evolution of different product structures, how they are used, the resulting cash-flows and the credit risks that arise in each type of transaction. This will cover credit risks from the simple to those with the most complex features. Managing exposures: The focus of this section is two-fold: to quantify the aggregate risk with a counter party by assessing the portfolio of transactions from the simple to the complex and to manage, and reduce where necessary, aggregate credit exposures from derivatives.