MODERN CREDIT RISK MANAGEMENT
This five-day program targets public professionals and private practitioners who would like to gain practical knowledge of the latest models and techniques used in credit risk management. The Program discusses different models used in credit risk management, looking at the underpinning theory and the implementation of these models. Participants will learn how to better explain to stakeholders the meanings of, and the measurement associated with, various risks banks and lending institutions are exposed to. They will also learn to communicate the risk appetite and tolerance to clients. The program will provide a broad introduction to the widely-used credit risk management models used for estimating EADs, PDs and LGDs and Credit portfolio modelling for both default and migration risks. This program is recommended for Senior Managers; Bankers; Credit Risk Professionals; Risk Professionals; Basel implementers; and Chief Audit Executives.
PROGRAM CONTENT
•Introduction to Credit Risk Management
o The Credit Crisis of 2007
o Migration from Basel 1 to Basel 2 to Basel 3 – The Impact
o Credit Analysis
o Capital Structure in Banks
o Case study: Credit Loss Distribution Modelling
o Credit VaR
o Exercise: Calculating Credit VaR of a Portfolio
o Counterparty Risk
o Exercise: Calculate CVA spread with no-wrong way risk, netting or collateralisation
o Credit Derivatives
o Default Risk
o Case Study : Analysis of a Bank failure
•Credit Risk Modelling
o Probability-of-Default
o Exposure-at-Default
o Loss- given-Default
o Case Study: Theory of PD, EAD and LGD for Basel and its implications for banks and lending portfolios
o Credit scores carding models
•Practical Credit Risk Modelling
o Credit Strategies and trade-off charts
o Mini exercise: Bank loan LGD
o Credit Risk Modelling
o Case Study: Credit modelling techniques and risk strategies for a given portfolio
o Type of tests
o Case Study: Validation of LGD and CCF estimates
o Risk capital allocation- Part 1
• Structured finance and Credit Risk
o Risk capital allocation- Part 2
o Type of tests
o Case Study: Validation of LGD and CCF estimates
o Structured finance and securitisation
o Case Study: Understanding the securitisation of subprime Mortgage Credit |
