Counterparty Credit Risk: Current Themes and Practical Application of Simulation Based Models

This webinar highlights practical capital calculation examples as it pertains to regulatory requirements within the OTC derivatives market.

Current landscape and key approaches

• Initial margin for non-centrally cleared OTC derivatives including a discussion of sensitivity and simulation based approaches
• Default risk capital requirements: movement towards an Internal Models Method (IMM) approach?
• Comparison of Current Exposure Method (CEM) vs IMM using 100 sample portfolios
• What modelling challenges may surface?

Case Study: Implementing simulation based counterparty credit risk analytics

• Motivation for employing simulation based models
• Use cases and work flows
• Challenges and solutions during implementation