Credit Risk Models

ICTD International Centre for Training and Development

What are the topics?

ICTD International Centre for Training and Development

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Who should attend

All those involved with credit risk, including:

  • Credit Managers
  • Credit Analysts
  • Treasury Managers
  • Risk Analysts
  • Financial Analysts
  • Corporate Bankers
  • Investment Bankers
  • Corporate Lending Officers
  • Research and Ratings Personnel
  • Portfolio Managers
  • Bank Regulators
  • Management & Strategy
  • Venture Capital Executives

About the course

Credit risk management continues to constitute the greatest challenge to banks, other lenders and regulators worldwide. As witnessed by the Enron debacle and a number of other credit surprises, upgrading knowledge in new credit techniques is a serious issue in the international banking community.

This course on credit risk management is designed to give participants the skills and strategies to render wise credit decisions and manage lending portfolios as they face new challenges. You will take away the required tools to anticipate problems that arise daily to minimise credit risk. This programme will focus on advanced cashflow dynamics, specialised lending decisions and the issue of recovery versus default. Thereafter, the focus shifts to loan portfolio management techniques.

## Course Objectives

How will this course will assist you?

On Completion for this course, you will be able to:

  • Better manage loan portfolios using sophisticated state-of-the-art credit tools designed to reduce credit risk rate and price loans.
  • Risk grade and price loans utilising interactive computer systems based on RAROC, incorporating simulations and optimisation techniques, and using expected loss statistics to allocate capital against the loan portfolio.
  • Manage and optimise an asset portfolio with new quantitative and qualitative structures for monitoring credit risk including employing and pricing credit derivatives, options, and datamining (computerised)

## Course Outline

Conceptual Approaches to Credit Risk Modeling:

  • The applications and hurdles in credit risk models
  • The distribution of credit losses
  • Conditional Vs. Unconditional models
  • The approaches to credit risk aggregation
  • The correlation between credit events

CreditMetrics

  • Introduction to CreditMetrics framework
  • Process followed to evaluate credit risk
  • Three powerful applications of CreditMetric

Credit Risk

  • Credit risk management framework
  • Credit Risk model and its components
  • Stages in CreditRisk modeling process
  • Applications of Credit Risk

Portfolio Manager

  • Distance-to-default
  • Expected default frequency
  • Advantages and weakness

Credit Portfolio View

  • Methodology followed by Credit Portfolio View
  • Its default prediction model
  • Its default prediction model

Credit Portfolio Management

  • Portfolio theories
  • Traditional Vs. modern credit management approach
  • Credit risk management tools
  • Comparison of credit risk model
  • Credit derivatives and asset securitization

Videos and materials

Credit Risk Models at ICTD International Centre for Training and Development

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Disclaimer

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.

Because of COVID-19, many providers are cancelling or postponing in-person programs or providing online participation options.

We are happy to help you find a suitable online alternative.