Counterparty Risk - Best Practices in RiskMetrics RiskManager

The measurement and management of counterparty risk has gained significance for buy-side and sell-side institutions, driven by internal and regulatory requirements.

This session will introduce the key concepts of counterparty risk management and how users can apply them in RiskManager, ranging from exposure simulation to Credit Value Adjustment (CVA) and wrong-way risk.

 Agenda Topics Include

•  Establishing exposures to counterparties over multiple time horizons
•  The netting of exposures within Credit Support Annexes (CSA’s)
•  Incorporating cash and non-cash collateral
•  Using Credit Value Adjustment to manage risks to counterparties (CVA)
•  Wrong-way risk - joint simulation of market risk and credit risk factors