ETRM Modeling | Credit Risk & Exposure Management — Practical Frameworks for Banking & Trading

How banks and trading firms manage credit exposure, limits, and risk governance. Each module builds from foundational concepts to advanced practices like real-time limit monitoring, stress testing, and regulatory reporting.

Format: Self-paced + Instructor-led cohorts ·
Duration: 4–8 weeks ·
Level: Advanced / Specialist
https://durgaanalytics.com/counterpar...

Chapters
00:00 - Introduction to Course
08:19 - Module 1 — Counterparty Master & Legal Entity
15:20 - Module 2 — Exposure Fundamentals
22:16 - Module 3 — Credit Valuation Adjustment (CVA) Essentials
30:58 - Module 4 — Limits Frameworks & Policies
39:17 - Module 5 — Collateral & Margining
46:15 - Module 6 — Real-time Limit Enforcement
53:10 - Module 7 — Stress Testing & Scenario Analysis
59:59 - Module 8 — Reporting, Governance & Audit


Modules:
1️⃣ Counterparty Master & Legal Entity — Entity resolution, KYC flags, governance
2️⃣ Exposure Fundamentals — PFE, EPE/ENE, netting & collateral effects
3️⃣ CVA Essentials — Monte Carlo vs analytical models, DVA/FVA
4️⃣ Limits Frameworks & Policies — Hard vs soft limits, overrides, escalation
5️⃣ Collateral & Margining — CSA integration, margin thresholds & workflows
6️⃣ Real-time Limit Enforcement — Streaming updates & alerting
7️⃣ Stress Testing & Scenario Analysis — Shock testing & sensitivity matrices
8️⃣ Reporting, Governance & Audit — Dashboards, Basel, PRA alignment

#CreditRisk #ExposureManagement #BankingAnalytics #CVA #CollateralManagement #RiskGovernance

credit risk, exposure management, CVA, DVA, FVA, collateral, counterparty master, real-time limits, stress testing, Basel, PRA, SA-CCR, governance, audit, banking analytics