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About the course
The financial world is dominated by credit risk, from the historical Credit Crunch (which began in 2008) to quantitative easing and the massive intervention of Central Banks in global markets. Never has the world owed so much to so many. Understanding credit and its risk is a key skill for any finance practitioner and this course is designed to give them the essential insights and skills to be able to identify, quantify and manage credit risk effectively.
The course begins with the basic understanding of what credit risk is and how it arises in many real-world cases such as banking, insurance, corporates and trade. This develops into credit analysis and modelling of credit risk for both single counterparties and portfolios. The course looks at a range of quantitative techniques which are employed by class leading models. These include models of default, ratings transition, transition matrices and default correlation. This course will also cover the regulatory requirements arising from these techniques.
The course looks at the management and optimisation of credit risk by the use of credit derivatives and securitisation. Of course, no such analysis would be complete without the regulatory impact of Basel III and other regulatory constraints on credit portfolios.
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
Trust the experts
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...
Credit Risk Finance Training Course