Central Counterparty Clearing
Dates: November 29 - 30, 2018
Price: EUR 1,400
Location: Prague, NH Hotel Prague
Lecturer: Gary Dunn
Objective is for participants to gain an appreciation and understanding of the following topics:
The background and evolution of central counterparty clearing
CCP margin frameworks
The default management process
The loss allocation waterfall
Key issues including: direct clearing, indirect client clearing, portability, segregation
Counterparty risk mitigation tools and their limitations
Systemic risk and extreme tail risk
Can a CCP fail? Some historical examples
Stress Testing a CCP and a recovery and resolution plan
The risk transformations CCPs generate
The implication of CCP clearing for XVA
An overview of the evolution of OTC Central Clearing, regulatory initiatives, and the implications for the risk landscape.
This course is intended to provide an appreciation of the evolution of central counterparty clearing particularly in relation to the clearing of OTC derivatives. Particular focus will be given to regulatory initiatives to develop the use of CCPs for OTC derivatives clearing following the financial crisis of 2007/8, the risk mitigation mechanisms developed by CCPs in response to the regulatory challenge in particular the margin requirements, auction processes, loss allocation methods and of course capital requirements.
The course will look at risk transformation processes and the impact on risk that CCPs may have in future crises, both positive and negative, particularly in relation to counterparty credit risk and systemic risk.
The course is intended particularly for risk managers, traders, regulators and anyone involved with clearing systems.