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Analyze & Manage Counterparty Credit Risk

This course is part of Advanced Credit Risk & Banking Analytics Specialization

Instructor: EDUCBA

Included with

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9 modules

Gain insight into a topic and learn the fundamentals.

10 reviews

2 weeks to complete

at 10 hours a week

Flexible schedule

Learn at your own pace

9 modules

Gain insight into a topic and learn the fundamentals.

10 reviews

2 weeks to complete

at 10 hours a week

Flexible schedule

Learn at your own pace

What you'll learn

Analyze counterparty credit risk and derivative exposure metrics (EE, EPE, PFE).
Apply CVA, VaR, and Monte Carlo methods for risk measurement.
Evaluate Basel frameworks, collateral, and CCP risk management practices.

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Build your subject-matter expertise

This course is part of the Advanced Credit Risk & Banking Analytics Specialization

When you enroll in this course, you'll also be enrolled in this Specialization.

Learn new concepts from industry experts
Gain a foundational understanding of a subject or tool
Develop job-relevant skills with hands-on projects
Earn a shareable career certificate

There are 9 modules in this course

Master the ability to analyze, measure, and manage counterparty credit risk in modern financial markets. By the end of this course, learners will evaluate derivative exposures, calculate expected and unexpected losses, apply CVA adjustments, assess wrong way and gap risk, and interpret Basel regulatory capital frameworks.

This course provides a structured progression from foundational concepts such as mark-to-market exposure and Value at Risk (VaR) to advanced topics including Monte Carlo exposure modeling, CDS pricing, bilateral CVA, and central counterparty (CCP) clearing mechanisms. Learners will gain practical insight into netting agreements, collateral management, exposure metrics (EE, EPE, PFE), and capital calculations under Basel II approaches. What makes this course unique is its integrated approach—connecting quantitative credit modeling, structured products, regulatory requirements, and real-world trading desk practices within a single learning pathway. Designed for finance professionals, risk analysts, and banking specialists, this course equips learners with applied, industry-relevant skills to strengthen credit risk management and enhance decision-making in complex financial environments.

Module details

This module introduces the fundamental concepts of counterparty credit risk within financial markets, explains how derivatives create dynamic exposure, and establishes the role of risk measurement tools such as Value at Risk (VaR) in financial risk management.

What's included

9 videos4 assignments

9 videosTotal 76 minutes

Introduction to Counterparty Credit Risk9 minutes
Financial Risk Management9 minutes
Illustration Of Value at Risk (VAR)8 minutes
Derivatives Markets8 minutes
Derivatives Markets Continues9 minutes
Counterparty Risk in context8 minutes
Counterparty Risk10 minutes
Counterparty Risk Continues9 minutes
Components and Terminology in Counterparty Risk7 minutes

4 assignmentsTotal 60 minutes

Understanding Risk in Financial Markets10 minutes
Derivatives Market Fundamentals10 minutes
Core Concepts of Counterparty Risk10 minutes
Foundations of Financial & Counterparty Risk30 minutes

This module examines the quantitative components of credit risk, including Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), Expected Exposure (EE), and Potential Future Exposure (PFE), and explains how institutions measure and control counterparty credit exposure.

What's included

9 videos4 assignments

9 videosTotal 73 minutes

More on Components and Terminology5 minutes
Example of Default Probability and Credit Risk in CR10 minutes
Illustration Of Potential Future Exposure10 minutes
Controlling Counterparty Credit Risk10 minutes
Quantifying CR7 minutes
Quantifying CR Continues8 minutes
Metrics for Credit Exposure9 minutes
Metrics for EE & EPE3 minutes
Mitigting Counterparty Risk11 minutes

4 assignmentsTotal 60 minutes

Risk Components & Default Probability10 minutes
Controlling and Quantifying Risk10 minutes
Exposure Metrics10 minutes
Measuring Counterparty Credit Exposure30 minutes

This module explores legal netting agreements, collateral management, margining practices, and haircut mechanisms as essential tools for mitigating counterparty credit risk and reducing capital requirements.

What's included

9 videos4 assignments

9 videosTotal 84 minutes

Mitigting Counterparty Risk Continues12 minutes
Netting and Close Out10 minutes
Example of Netting and Close Out10 minutes
More on Netting and Close Out10 minutes
Impact of Netting8 minutes
Collateral in Credit Risk10 minutes
Types of Collateral8 minutes
More on Collateral in Credit Risk6 minutes
Example of Collateral10 minutes

4 assignmentsTotal 60 minutes

Netting Fundamentals10 minutes
Impact of Netting10 minutes
Types and Application of Collateral10 minutes
Netting and Collateral – Risk Reduction Tools30 minutes

This module focuses on advanced exposure modeling techniques, including Monte Carlo simulation, interest rate modeling, credit spreads, roll-off risk, and correlation effects in counterparty credit exposure measurement.

What's included

9 videos4 assignments

9 videosTotal 72 minutes

Example of Collateral Continues10 minutes
Quantifying Counterparty Credit Exposure10 minutes
Impact of Roll off Risk8 minutes
Typical Credit Exposures9 minutes
Models for Credit Exposure9 minutes
Credit Spreads9 minutes
Interest Rates in Credit Exposures8 minutes
Netting3 minutes
Netting Factors6 minutes

4 assignmentsTotal 60 minutes

Collateral and Exposure Measurement10 minutes
Credit Exposure Modeling10 minutes
Interest Rates and Netting Effects10 minutes
Advanced Exposure & Risk Quantification30 minutes

This module examines credit derivatives, CDS contracts, structured products such as CDOs, delivery risk, credit spread linkages, and cumulative default probability modeling in modern credit markets.

What's included

9 videos4 assignments

9 videosTotal 80 minutes

Quantifying CCE II on Impact of Collateral10 minutes
Collateral Volatility10 minutes
Credit Risk and Credit Derivatives8 minutes
Market Growth and Uses7 minutes
Linkage Between Bonds7 minutes
Reference Entity and Obligation10 minutes
Delivery Squeeze9 minutes
CDS Risk Big Bank and Small Bank9 minutes
Cumulative Default Probability Function10 minutes

4 assignmentsTotal 60 minutes

Collateral Volatility & Credit Derivatives10 minutes
Credit Market Instruments10 minutes
CDS Market Risks10 minutes
Credit Derivatives and Structured Risk30 minutes

This module develops an in-depth understanding of Credit Valuation Adjustment (CVA), bilateral counterparty risk, hazard rate modeling, wrong way risk, and advanced credit valuation techniques in derivative pricing.

What's included

9 videos4 assignments

9 videosTotal 85 minutes

What is CDS Index Products8 minutes
Collateralised Debt Obligations8 minutes
Motivation10 minutes
Practical CVA Formula9 minutes
Pricing New Trade Using CVA13 minutes
Bilateral CVA8 minutes
Three Diffferent CVA Measures10 minutes
Bilateral Counterparty Risk9 minutes
Wrong Way Risk10 minutes

4 assignmentsTotal 60 minutes

CDS Structures and Products10 minutes
CVA Fundamentals10 minutes
CVA Risk Dimensions10 minutes
CVA and Advanced Credit Valuation30 minutes

This module explores right way and wrong way risk, CDS counterparty exposure, gap risk, margin period of risk, hedging of mark-to-market exposure, and portfolio-based unexpected loss modeling.

What's included

9 videos4 assignments

9 videosTotal 76 minutes

Right Way Risk8 minutes
Counterparty Risk in CDSs9 minutes
CDS Protection with Hazard Rates8 minutes
Creadit Indices and Index Tranches10 minutes
Counterparty Risk & Gap Risk5 minutes
how to Convert CR into Gap Risk11 minutes
Hedging of Risky MtM10 minutes
Drift Example10 minutes
Loss Distribution and Unexpected Loss6 minutes

4 assignmentsTotal 60 minutes

Right Way and CDS Risk10 minutes
Credit Indices & Gap Risk10 minutes
Portfolio & Risk Modeling10 minutes
Advanced Counterparty Risk Dynamics30 minutes

This module examines Basel II counterparty credit risk regulations, Advanced IRB approaches, economic capital, Exposure at Default (EAD), Current Exposure Method (CEM), and institutional governance structures for counterparty risk management.

What's included

9 videos4 assignments

9 videosTotal 88 minutes

Portfolio Models & Economic Capital11 minutes
CR Regulation and Basel II9 minutes
The Advanced IRB Approach9 minutes
Exposure at Default Basel II11 minutes
Current Exposure Method7 minutes
Managing Counterparty Risk FI9 minutes
Responsibilities11 minutes
Insurance Approach12 minutes
Trading Desk Approach9 minutes

4 assignmentsTotal 60 minutes

Capital & Portfolio Models10 minutes
Exposure Under Basel10 minutes
Governance & Institutional Risk Management10 minutes
Regulatory Framework & Basel Approaches30 minutes

This module examines central clearing mechanisms, CCP margining systems, default funds, systemic risk mitigation, centralized clearing structures, and the strategic role of CCPs in global financial stability.