Credit and Counterparty Risk Measurement and Management for Energy and Commodity Derivatives (CCRM)

Venue: Houston

Location: Houston, Texas, United States

Event Date/Time: Apr 15, 2009 End Date/Time: Apr 16, 2009
Abstract Submission Date: Apr 15, 2009
Paper Submission Date: Apr 16, 2009
Report as Spam


Course Summary

This course covers the latest practical developments in credit and counterparty risk in energy and commodity markets. We will explore how to identify, quantify and mitigate credit and counterparty risk from derivatives and long term contracts. Case studies will illustrate practical applications based on gas, electricity and oil markets. We will review the critical components to establish sound credit risk management policies and procedures. Delegates will learn about applications of recent methodological developments such as counterparty potential future exposure and probability of default calculations. The course will also introduce applications of various counterparty risk mitigation tools such ISDA agreements (with emphasis on netting and collateral clauses), guarantees, and credit derivatives. This highly interactive workshop uses practical case studies, Excel exercises and group discussions to reinforce the concepts presented in the lectures. The workshop will focus on practical applications of various methodologies and tools to improve credit decisions.

What You Will Learn

Explore the various dimensions of credit and counterparty risk in the energy sector
Understand key netting and collateral clauses in ISDA agreements
Use of credit mitigation tools such as netting, collateral and credit derivatives in the energy sector
Learn how to structure an internal rating system for derivatives counterparties
Become familiar with calculations of expected exposure, potential future exposure (PFE) using Excel
Understand how to set up a limit structure based on Current Exposures as well as Potential future exposures against various counterparties
Aggregate credit exposures to provide a single unified view
Learn how ratings, indicators, and bond and CDS spreads price default risk
Set up effective credit risk management policies and procedures for credit risk management
Numerous individual and group exercises to reinforce concepts presented in lectures