Credit Risk
Revised to take into consideration the impact of the global credit crisis, this state-of-the-art credit risk course is essential for every risk management professional.
Course Highlights
Attend this three-day course and you will gain a comprehensive understanding of:
- The techniques to effectively manage credit risk in portfolios, loans and instruments
- The most commonly used models for assessing the credit risk exposure of a single couterparty or of a multiple portfolio
- An in-depth analysis of portfolio performance and portfolio optimisation
- Securitisation techniques, CDO products and credit derivative instruments and how they are used to mitigate credit exposure and minimise regulatory capital
- The new regulatory requirements for credit risk and the techniques to successfully implement Basel II
- Real-life case studies and hands-on exercises for practical credit risk assessment
For details of the course trainer, please download the course brochure
Booking Information
| Dates | Prices | Book This Course | Discount |
|---|---|---|---|
| 22 - 24 Sep 2010 |
£ 2299 |
 |
-
|
| 21 - 23 Mar 2011 |
£ 2299 |
|
-
|
Course Programme
DAY ONE
Introduction to Fundamental Credit Risk and Analysis
- What is credit risk and how does it arise?
- Definitions of default, failure to pay and other events
- Simple models of corporate structure and default processes
- Credit risk as default probability, recovery rates and exposure
- Relationship to balance sheet and cashflow statements
- Relationships to debt and equity prices
- Ratings agents approach to credit risk Portfolio Credit Risk
- Probability of default, loss given default and correlation of default
- Credit risk of portfolios compared with single positions
- Loss distributions and relationship to expected loss,worst credit loss, economic and regulatory capital
- Introduction to portfolio credit risk models
- CreditRisk+
- CreditMetrics
- McKinsey
- Optimising portfolios for best risk / return
PC Workshop
Spreadsheet exercises using simple portfolio credit model
DAY TWO
Overview of Basic Statistics
- Some elementary statistics
- Volatility of market factors
- Exercise: Estimation of market factor volatilities
- Covariance and correlation, correlation matrix
- Exercise: Estimation of market factor correlations
- Problems with real-world data
- Monte Carlo simulation methodology
- Overview of Monte Carlo technique
- Choleski decomposition
- Exercise: Performing Choleski decomposition
- Problems with the variance/covariance matrix
Modelling Credit Exposure of Derivatives
- Loans and derivatives
- Transaction based models
- Foreign exchange transactions
- Interest rate swap transactions
- CEF calculations
- Effect of CMTM
- Market factor based models
- Counterparty exposure simulation models
- Handling credit exposure limits
- Integration of netting
- Integration of margin / collateral
- Stress testing
- incremental transactions
- market discontinuities
Evaluating the Credit Risk of Derivatives
- Expected and unexpected credit loss
- Default only versus economic loss
- Credit loss profile
- Simulation approach to economic capital
- Risk rating model
- Rating migration matrix
- Loss given default
DAY THREE
Managing Credit Risk: Securitisation and Risk Transformation
- Concepts of regulatory capital for credit risk and return on assets
- Techniques for moving risk off balance sheet
- securitisation and synthetic securitisation
- CDOs and other tranche products
- Pros and cons of securitisation for origination firms and investors
Case Study
Analysis of a CDO
Managing Credit Risk: Credit Derivatives and Risk Transfer
- What are credit derivatives and why are they used?
- Single name credit derivatives (unfunded and funded structures)
- credit default swap
- total return swap
- first-to-default basket note
- Pricing and risk of single obligor credit derivatives
- Regulatory capital impacts of credit derivatives
- Documentation and legal issues
PC Workshop
Spreadsheet exercises with single name credit derivatives
Regulatory Capital Requirements for Credit Risk
- Regulatory capital under Basel I
- Regulatory capital under Basel II
- Standardised approach
- Foundation Internal Ratings Based Approach
- Advanced Internal Ratings Based Approach
- Basel II Risk Weight Functions
- Basel Trading Book Issues
- Counterparty credit exposure
- Double default effects
- Short term maturity adjustment
- Unsettled trades
- Wrong way risk
Home