Objectives On completion of this tutorial, you will be able to:

• Identify the difference between current exposure and future exposure and calculate CCR using the various exposure measures
• Define credit value adjustment (CVA) and the various other value adjustments (xVAs)
• Identify the various approaches for calculating regulatory capital charges for CCR and CVA risk

Tutorial Overview Regulatory requirements mandate that banks measure and manage their CCR exposure. These requirements generate a significant burden as regards data aggregation and the use of often complex measurement approaches and models. While this has been the case for many years, the global financial crisis and subsequent Basel III requirements resulted in significant changes to the measurement of the CCR and the associated capital charges. This tutorial examines these issues in detail. Prerequisite Knowledge Counterparty Credit Risk (CCR) - An Introduction Tutorial Level: Advanced Tutorial Duration: 75 minutes