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Credit Risk Training Course

Real-life case studies and exercises for practical credit risk assessment

21 - 23 September 2020

Central London

Agenda Summary (access the full agenda to Credit Risk here)

  • Introduction to Fundamental Credit Risk & Analysis
  • Portfolio Credit Risk
    • Probability of default
  • Overview of Basic Statistics
    • Pearson correlation
  • Modelling Credit Exposure of OTC Derivative Products
    • Credit exposure limits
  • Evaluating the Credit Risk of Derivatives
    • Expected & unexpected credit loss
  • Managing Credit Risk: Securitisation & Risk Transformation
  • Managing Credit Risk: Credit Derivatives & Risk Transfer
    • Single name credit derivatives
  • Regulatory Capital - Requirements for Credit Risk
    • Changes under Basel III


Case Studies, Exercises & Discussions

  • Spreadsheet exercises using simple portfolio credit model
  • Estimation of market factor volatilities
  • Analysis of a CDO in the sub-prime meltdown
  • Estimation of market factor correlations
  • Performing Cholesky decomposition
  • Spreadsheet exercises with single name credit derivatives
  • Credit risk management post credit crunch – a new paradigm? How will we make money in the new high cost, low leverage world?