25 - 27 February, 2009 London, UK

This course explains and develops the ideas and models for collateral management and the measurement and quantification of counterparty risk. The ideas are built up sequentially and workshops are used to develop the key ideas including margin calculations, estimation of haircuts, credit exposure and pricing counterparty risk. Participants will be able to take away all worked examples and additional exercises and models implemented using Excel functions and macros.