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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
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?
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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