CPEs: 24
Instructor: Dennis Cox
Level: Intermediate
Tuition: £2,995.00
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NEW Credit Risk, The Revised Capital Rules and Modelling Crisis Impact RM450

Location: UK EU MENA WAT GCC Time Zones

First Date: Apr 22 - 24 2024

Duration: 3 days

Programme Director: Dennis Cox FCSI FRISM FCA AIIA BFP

All Dates & Locations
Venue Details

Experience the highly-interactive expert-led social learning through Virtual Classroom via Cisco WebEx from Risk Reward.

All our 2024 Virtual and Face-to-Face Classroom events feature shared (or discrete) live chat between delegates and the expert, participate in topical surveys, polling questions, group exercises and case studies for a tried -and- true engaging and gratifying learning experience.

Need to bring this course in-house and/or at your location anywhere worldwide? Simply contact us for a prompt and courteous reply offering significant cost savings and dates to meet your specific requirements.

L & D Senior Manager, TABF, Taiwan
Agenda Highlights

Session 1: Lending

Session 2: BIS Capital rules

Session 3: Scoring, Data, Policy and Testing

Session 4: Corporate Credit Analysis

Session 5: Credit Modelling Requirements

Session 6: Building and Managing Credit Models

Session 7: Model Validation

Session 8:  Modelling the Future


"'On Day 1 the trainer already made me think in ways I had not done before. Very beneficial.'"
Investec, South Africa

Credit Departments within banks have become increasingly complex driven by the demands of regulation and business practises.  This level of increase in sophistication has accelerated in recent years as many banks have developed credit departments with ever increasing responsibilities.

There has been an increased used of modelling credit risk as a risk as a result of the implementation of IFRS9 and also the developments in the global credit markets. This course looks at the key modelling techniques that are applied and highlights these to meet the demands of regulations.  However the crisis of 2020/2021 has resulted in assessment of both corporate and retail customers becoming increasingly complex.  The challenge is to move to a forward looking model which properly assesses the key elements of credit risk.  This will be considered throughout this course.

We now also have the revised Basel 3 capital rules to contend with.  These result in bank credit capital management diverging from bank risk management.  They raise more questions then they answer.  In this course we shall look at these requirements and the impact that this is likely to have.

Delegates will also consider how models have performed during the crisis of 2020/2021 and the key lessons that have been learnt.

"'Excellent course. I learned a great deal and Dennis did a great job adapting to the on-line delivery method for the course.'"
Auditor, Luxembourg bank
Who Should Attend

Risk specialists, internal auditors and others with an interest in credit risk modelling


Additional Course Information

What Does It Cover?

Day 1

Session 1:  Lending 

  • Understanding the risk of lending decisions
  • Determinants of credit risk
  • Types of credit risk
  • Retail credit risk
  • Corporate credit risk
  • Counterparty credit risk
  • Settlement credit risk
  • The difference in modelling approach between the personal and corporate markets
  • The crisis of 2020 and its impact on credit modelling

Session 2:  BIS Capital rules 

  • The rules until 1 January 2023
  • The rules after 1 January 2023
  • What does this mean for risk management?
  • What does this mean for management reporting?
  • How will this impact stress testing and the ICAAP? 

Session 3:  Personal Credit Analysis

  • Credit evaluation during the crisis
  • Credit scoring and the use of external information
  • Developing scoring models
  • Human intervention
  • Historic data issues
  • Pricing policy and risk grading
  • Collateral Valuation
  • Model validation
  • Model documentation requirements
  • Back testing
  • Model abuse

 Day 2

 Session 4:  Corporate Credit Analysis

  • The role of models in corporate credit analysis
  • Balance sheets and financial analysis during the crisis
  • The use of external ratings
  • The creation of internal ratings
  • Non-financial analysis and its role in models
  • Repayment structures
  • The problems of corporate data and the impact of international accounting standards
  • Corporate collateral
  • Reviewing credit data
  • Data relevance and scaling
  • Building and validating the model
  • Soft data issues

Session 5:  Credit Modelling Requirements

  • The implications of the Basel Accord for credit modelling
  • Insight into the latest tools and techniques to measure, manage and monitor credit risk
  • Maintaining data across the credit cycle
  • The impact of economic modelling on credit risk
  • Dealing with loss given default
  • Dealing with exposure at default
  • Modelling likelihood of default
  • Modelling IFRS9 issues
  • The use test

 Day 3

 Session 6:  Building and Managing Credit Models 

  • The objectives of the model
  • Model governance
  • Meaningful differentiation of risk
  • Creation of asset pools
  • Identification of attributes
  • Attribute weighting
  • Pre-use validation
  • Model documentation
  • Model approval
  • Manual intervention
  • Monitoring model performance

Session 7:  Validating the Model 

  • The pre-use validation
  • The post use validation
  • Governance of validation
  • Dealing with data disturbance
  • Developing and using model overlays

Session 8:  Modelling the future

  • Dealing with economic data
  • Modelling future expected performance
  • Modelling credit risk sensitivity analysis
  • Modelling credit risk stress testing
  • Modelling credit risk scenario analysis
  • The future



Learning Objectives

Delegates will gain specialist technical  knowledge, understanding, analysis and applications of

  • the impact of the current crisis on credit risk modelling and assessment
  • the key issues relating to credit models and how they can be resolved
  • the changing capital requirement and what this means for risk management and governance
  • the key issues relating to the modelling of credit risk and it’s role within the credit approval process.
  • what are the main techniques currently employed and key approaches to this developing subject

Using a series of practical case studies, participants will be taken through the key approaches and will learn lessons to be applied within their own organisations.

Delegates who complete the course will receive a Certificate with equivalent CPD/CPE credits via email; and for those who require an assessment as a demonstration of competency via training a 20 multiple-choice questions and answers quiz, remotely invigilated with results report and 1 resit, is available at no additional charge when requested at time of reservation.

Social Learning & Methods

Highly interactive expert-led intensive presentation, Q&A, group real-time in-depth case studies, regulation and discussion supported by key principles and theory. The virtual learning platform uses safe, industry preferred encrypted Cisco WebEx to optimize live face-to-face visual interaction, discrete chat, for polling and quizzes.

(An invitation via email with access link is included for all participants.)


NEW Credit Risk, The Revised Capital Rules and Modelling Crisis Impact

Course Fee

Apply 10% discount code RISK10 by December 15, 2023 at check-out

Course Fee (per person):
GBP £2,995.00 (+ UK VAT when applicable)

Number of delegates:

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