Credit Risk Modelling Training Course
Course Mentor: Bao Nguyen
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*18 seats only for each public session
Pricing loan portfolio, evaluating risks and mitigating default
This course will aim to provide you with an understanding of the methodologies adopted in quantifying credit risk, will examine developments in the area of credit portfolio management including an examination of credit derivatives.The course incorporates workshop and case study sessions and is designed to be interactive.
Course Agenda Highlights
DAY ONE- Session 1 - The Nature of Credit Risk and Modeling Approaches
- The nature of credit risk exposures
- Estimating credit risk
- Should we use historical or market data?
- How do we extract market implied default risk information?
- Other techniques for quantifying risk
- Group discussion
- Session 2 - Understanding Credit Spreads
- Default risk and credit spreads, market implied default risk
- The credit spread term structure
- Modelling the term structure of credit spreads
- Workshop - Calculating credit spreads and implied default probabilities
- Session 3 - Modelling and Pricing Default Risk
- The elements of measuring default probability
- The use of market prices
- Modelling the risk of default using equity prices
- The impact of time on default risk
- Class discussion
- Session 4 - Credit Rating Dynamics
- Public rating processes
- Establishing credit quality correlation
- Developing credit transition matrices
- Understanding the limitations of rating data
- Case Study: to be determined
- Session 1 - Credit Risk Management Techniques
- Reserves and provisioning
- Accounting vs Economic approach
- Credit loss distribution and credit models
- Case study - Provisioning a bank portfolio
- Session 2 - Comparing Various Credit Risk Modelling Approaches
- CreditRisk+
- CreditMetrics TM
- KMV Portfolio Manager TM
- Workshop - Examination of the operation of a Credit Model
- Sessions 3 & 4 - Implementing Credit Metrics Model in Excel
- Framework
- Building blocks
- Sessions 1 & 2 - Implementing Credit Metrics Model in Excel (cont'd)
- Putting all the building blocks together
- Session 3 - An Introduction to Credit Derivative Products and their Application in Managing Credit Portfolio
- Credit derivative products and structures
- Total return swaps
- Credit default swaps
- Regulatory and risk management issues
- Using credit derivatives to actively manage credit portfolios
- Class exercise
- Session 4 - Pricing for Risk - Integrating Risk and Return
- Correlation between risk and return: market behavior
- Capital issues: Regulatory vs Economic
- The process of Target Setting and Network Implementation
- Demonstration of a Pricing and Rating System
- Course Summary and Conclusion
Who should attend?
This 3-day course is analytical but requires no technical background and is designed for those who wish to understand some of the quantitative techniques used in credit risk management.
Run this course in-house
Consider running this course as an in-house course where you want, when you want and tailor the course to how you want it.
You can gather a group of your colleagues and/or invite your clients.
Find out more about running this course or any other one of our courses in-house.
Why Ethan Hathaway?
- Practical. Learn from experienced industry practitioners and what's being practiced by your peers.
- Applicable. Apply what you learn in your job and your career
- Valuable. Earn more revenue or save your organisation from monetary loss . You and your organisation will quickly earn back your investment on the course fee and more
- Enjoyable. Speakers who have a passion for their topic
- Clear. Turning complex concepts into easy to understand concepts
Learn more about this course
Inside the course information booklet you'll find:
- Detailed course agenda of what you'll learn
- Eligible discounts
- Our course quality guarantee
- Course expert biography
- Course venue details
- Course registration form
- Printer-friendly PDF
- Small file size for fast & easy download
Complete the details to the right and click on "Send me the booklet" to have the course booklet emailed to you immediately.
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Register for the course
You may book your place on the course by any of these methods:
- Online booking - simply click on the "Register Me" button next to the course date you wish to register and it will take you through our quick online registration procedure.
- Email us at:
- please include your full contact details. - Fax us the booking form (included in the brochure) to: UK: +44 87 1715 0414 / Hong Kong: +852 3014-0721
- Or call: +852 2273-4393 during normal office hours
Credit Risk Modelling Training Course
| Date | Location | Venue | Investment | Register |
|---|