Course Description

Counterparty Credit Risk (CCR) refers to the risk that a counterparty to a bilateral financial contract may fail to fulfill its contractual obligation, causing economic loss to the non-defaulting counterparty. PFE is the credit exposure on a future date modeled with a specified confidence interval.

When faced with significant uncertainty in the process of making a forecast or estimation, rather than just replacing the uncertain variable with a single average number, the Monte Carlo Simulation might prove to be a better solution by using multiple values.

In this eLearning module, you will learn MC PFE (Monte Carlo Potential Future Exposure) in detail. Module also covers

  • Mechanics – SEM/MC SEM, Simulation Models
  • Netting Sets
  • Exposure Profiles
  • Credit Tagging
  • Valuation Adjustments
  • Incremental Valuation Adjustments
  • EOD Limits

Calypso Learning Services

Course curriculum

  • 1

    CounterParty Credit Risk : MC PFE

    • Counter party Credit Risk -MCPFE

  • 2

    Part 1

    • Mechanics – SEM/MC SEM, Simulation Models, Netting sets
  • 3

    Part 2

    • Webex -Exposure Profiles, Credit Tagging, Valuation Adjustments, Incremental Valuation Adjustments
  • 4

    Part 3

    • Webex- What If and EOD limits