Derivative Credit Risk – Analysis and Management

A financial institution deals in many products with many counterparties. As the Lehman bankruptcy showed, monitoring and managing counterparty credit risk is essential to the survival of the firm. In this day derivatives trading can often create larger exposures for large financial institutions than cash instruments given the relative volume being traded. The course is designed to provide an overview of the principles of how to calculate, assess and manage derivative credit risk and will focus on interest rate swaps and options.[...]