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UK, Europe, Time Zones
CPEs: 16
Instructor: Dr Gary van Vuuren
Level: Intermediate
Tuition: £0.00
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NEW Credit Risk – the Revised Capital Rules & the Impact of Covid 19 KEY002

Location: UK, Europe, Time Zones

First Date: Nov 8 - 9 2022

Duration: 2 days

Programme Director: Dennis Cox BSc FCA FCSI FISRM BFP AIIA

All Dates & Locations
Venue Details

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

All our 2022 Virtual 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.

Agenda Highlights

Learn the key challenges within credit risk emanating form the current crisis.

Appreciate how the rules are changing and the impact that this will have.

Understand the impact on models of the current crisis and the actions to be taken.

Overview

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 use of modelling credit 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 than they answer. In this course we shall look at
these requirements and the impact that this is likely to have.

It also considers how models have performed during the crisis of 2020/2021 and the key lessons that have been
learnt.

Who Should Attend

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

All delegates who complete this course will receive a Certificate in Credit Risk & the Revised Capital Rules and the Impact of Covid 19  by Keynotive Ltd UK.

 

Additional Course Information

What Does It Cover?

The training starts at 8.30AM on both days. There will be two half-hour coffee breaks and an hour-long
lunch break on each day. The training will conclude at 4.30PM
*All times are expressed in British Summer Time (BST) on the Agenda

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

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
End of Day 1

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

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
■ Other matters
End of Day 2

 

Learning Objectives
  • 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.
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.)

Registration

NEW Credit Risk – the Revised Capital Rules & the Impact of Covid 19

Course Fee

Course Fee (per person):
GBP £0.00 (+ UK VAT when applicable)

Number of delegates:

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