Rating and Early Warning Systems

Frankfurt School of Finance & Management

How long?

  • 1 day
  • in person

What are the topics?

Frankfurt School of Finance & Management

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Who should attend

Staff members that have to design, calibrate, validate, and audit scorecards, PD-, LGD- and CCF models. These are typically individuals from Risk (control), Risk analytics, Validation, and Internal audit. The seminar is also suitable for sales and lending officers to better understand the determinants of the internal capital charges associated with a certain client profile.

About the course

Basics of parameter estimation (PD, LGD, CCF) and risk management

Rating methods play a central role in the risk management process due to the regulatory developments (MaRisk, SolvV) in the past years.Together with the estimation of the loss parameters (Probabilities of default and loss rates) they represent the main basis for the definition of credit processes, loan pricing and risk calculation of credit risks. In this seminar you will learn the foundations for the structure, the mode of action and the boundaries of the rating process, in order to know and gain an impression how these can be efficiently implemented in practice.

Contents

  • Definitions and regulatory requirements
  • Internal risk rating process
  • External ratings
  • Internal credit ratings
  • Estimation of loss parameters (PDs, LGDs, CCF)
  • Validation of rating functions
  • Early warning systems

Methodology

Interactive seminar, discussions, moderation, group work

Videos and materials

Rating and Early Warning Systems at Frankfurt School of Finance & Management

From  850 EUR$1,022

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Disclaimer

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