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

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?

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

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

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

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

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
■ Other matters

END

• An understanding of the impact of the current crisis on credit risk modelling and assessment.
• An appreciation of the key issues relating to credit models and how they can be resolved.
• An understanding of the changing capital requirement and what this means for risk management and
  governance.
• To enable attendees to appreciate the key issues relating to the modelling of credit risk and it’s role
  within the credit approval process.
• To ensure the attendees understanding what 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.

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.)