Credit Risk

IFF Training

How long?

  • 3 days
  • in person

IFF Training

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About the course

This course will start with an analysis of the credit risk counterparty and transaction-based models and move on to describing the models for evaluating a portfolio of counterparties. Key benefits of attending this course are:

  • Learn clear concise techniques to manage credit risk in portfolios, loans and instruments effectively
  • Cover the most commonly used models for assessing credit risk exposure
  • Improve your knowledge with in-depth analysis of portfolio performance and optimisation
  • Get to grips with the latest regulatory requirements & developments regarding Credit Risk, Basel II & Basel III and FRTB
  • Learn what challenges credit risk management faces and what you need to do to deal with these challenges effectively

How You Will Learn

Packed with case studies, exercises, computer workshops and discussions to give you a thorough grounding in techniques and strategies to manage credit risk

These include: Estimation of market factor volatilities; Spreadsheet exercises using simple portfolio credit model; Performing Cholesky decomposition; Analysis of a CDO in the sub-prime meltdown; Spreadsheet exercises with single name credit derivatives; Estimation of market factor correlations

Agenda Summary

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?

Experts

Andrew Street

Andrew Street was formerly Executive Director - Head of Arbitrage & prior to that, Director - Head of Equity & Commodity Derivatives at Mitsubishi Finance International (now bank of Tokyo-Mitsubishi). He has been a senior financial regulator including being Head of Traded Risk at the Fin...

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Credit Risk at IFF Training

From  3599 GBP$4,679

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Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

Full disclaimer.

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