Analyze & Manage Counterparty Credit Risk
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Analyze & Manage Counterparty Credit Risk
This course is part of Advanced Credit Risk & Banking Analytics Specialization
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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.
Details to know
April 2026
35 assignments
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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.
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 videos•Total 76 minutes
- Introduction to Counterparty Credit Risk•9 minutes
- Financial Risk Management•9 minutes
- Illustration Of Value at Risk (VAR)•8 minutes
- Derivatives Markets•8 minutes
- Derivatives Markets Continues•9 minutes
- Counterparty Risk in context•8 minutes
- Counterparty Risk•10 minutes
- Counterparty Risk Continues•9 minutes
- Components and Terminology in Counterparty Risk•7 minutes
4 assignments•Total 60 minutes
- Understanding Risk in Financial Markets•10 minutes
- Derivatives Market Fundamentals•10 minutes
- Core Concepts of Counterparty Risk•10 minutes
- Foundations of Financial & Counterparty Risk•30 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 videos•Total 73 minutes
- More on Components and Terminology•5 minutes
- Example of Default Probability and Credit Risk in CR•10 minutes
- Illustration Of Potential Future Exposure•10 minutes
- Controlling Counterparty Credit Risk•10 minutes
- Quantifying CR•7 minutes
- Quantifying CR Continues•8 minutes
- Metrics for Credit Exposure•9 minutes
- Metrics for EE & EPE•3 minutes
- Mitigting Counterparty Risk•11 minutes
4 assignments•Total 60 minutes
- Risk Components & Default Probability•10 minutes
- Controlling and Quantifying Risk•10 minutes
- Exposure Metrics•10 minutes
- Measuring Counterparty Credit Exposure•30 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 videos•Total 84 minutes
- Mitigting Counterparty Risk Continues•12 minutes
- Netting and Close Out•10 minutes
- Example of Netting and Close Out•10 minutes
- More on Netting and Close Out•10 minutes
- Impact of Netting•8 minutes
- Collateral in Credit Risk•10 minutes
- Types of Collateral•8 minutes
- More on Collateral in Credit Risk•6 minutes
- Example of Collateral•10 minutes
4 assignments•Total 60 minutes
- Netting Fundamentals•10 minutes
- Impact of Netting•10 minutes
- Types and Application of Collateral•10 minutes
- Netting and Collateral – Risk Reduction Tools•30 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 videos•Total 72 minutes
- Example of Collateral Continues•10 minutes
- Quantifying Counterparty Credit Exposure•10 minutes
- Impact of Roll off Risk•8 minutes
- Typical Credit Exposures•9 minutes
- Models for Credit Exposure•9 minutes
- Credit Spreads•9 minutes
- Interest Rates in Credit Exposures•8 minutes
- Netting•3 minutes
- Netting Factors•6 minutes
4 assignments•Total 60 minutes
- Collateral and Exposure Measurement•10 minutes
- Credit Exposure Modeling•10 minutes
- Interest Rates and Netting Effects•10 minutes
- Advanced Exposure & Risk Quantification•30 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 videos•Total 80 minutes
- Quantifying CCE II on Impact of Collateral•10 minutes
- Collateral Volatility•10 minutes
- Credit Risk and Credit Derivatives•8 minutes
- Market Growth and Uses•7 minutes
- Linkage Between Bonds•7 minutes
- Reference Entity and Obligation•10 minutes
- Delivery Squeeze•9 minutes
- CDS Risk Big Bank and Small Bank•9 minutes
- Cumulative Default Probability Function•10 minutes
4 assignments•Total 60 minutes
- Collateral Volatility & Credit Derivatives•10 minutes
- Credit Market Instruments•10 minutes
- CDS Market Risks•10 minutes
- Credit Derivatives and Structured Risk•30 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 videos•Total 85 minutes
- What is CDS Index Products•8 minutes
- Collateralised Debt Obligations•8 minutes
- Motivation•10 minutes
- Practical CVA Formula•9 minutes
- Pricing New Trade Using CVA•13 minutes
- Bilateral CVA•8 minutes
- Three Diffferent CVA Measures•10 minutes
- Bilateral Counterparty Risk•9 minutes
- Wrong Way Risk•10 minutes
4 assignments•Total 60 minutes
- CDS Structures and Products•10 minutes
- CVA Fundamentals•10 minutes
- CVA Risk Dimensions•10 minutes
- CVA and Advanced Credit Valuation•30 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 videos•Total 76 minutes
- Right Way Risk•8 minutes
- Counterparty Risk in CDSs•9 minutes
- CDS Protection with Hazard Rates•8 minutes
- Creadit Indices and Index Tranches•10 minutes
- Counterparty Risk & Gap Risk•5 minutes
- how to Convert CR into Gap Risk•11 minutes
- Hedging of Risky MtM•10 minutes
- Drift Example•10 minutes
- Loss Distribution and Unexpected Loss•6 minutes
4 assignments•Total 60 minutes
- Right Way and CDS Risk•10 minutes
- Credit Indices & Gap Risk•10 minutes
- Portfolio & Risk Modeling•10 minutes
- Advanced Counterparty Risk Dynamics•30 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 videos•Total 88 minutes
- Portfolio Models & Economic Capital•11 minutes
- CR Regulation and Basel II•9 minutes
- The Advanced IRB Approach•9 minutes
- Exposure at Default Basel II•11 minutes
- Current Exposure Method•7 minutes
- Managing Counterparty Risk FI•9 minutes
- Responsibilities•11 minutes
- Insurance Approach•12 minutes
- Trading Desk Approach•9 minutes
4 assignments•Total 60 minutes
- Capital & Portfolio Models•10 minutes
- Exposure Under Basel•10 minutes
- Governance & Institutional Risk Management•10 minutes
- Regulatory Framework & Basel Approaches•30 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.
What's included
7 videos3 assignments
7 videos•Total 63 minutes
- Trading Desk Approach Continues•10 minutes
- How charge for Counterparty Risk•8 minutes
- The Role of CCPs•11 minutes
- Triple A Counterparty•11 minutes
- Exchange and CCP Concepts•7 minutes
- Role of Central Counterparty•8 minutes
- Market Coverage of CCP•8 minutes
3 assignments•Total 50 minutes
- Internal Risk Charging & Desk Controls•10 minutes
- Central Counterparties & Market Structure•10 minutes
- CCPs, Clearing & Market Infrastructure•30 minutes
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Reviewed on May 4, 2026
I found the sections on derivatives exposure and credit valuation adjustment (CVA) particularly insightful.
Reviewed on May 9, 2026
A few sections could have included more real-world case studies for deeper understanding.
Reviewed on May 5, 2026
Content progression is smooth, moving from fundamentals to more detailed concepts without confusion.
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