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

• 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.

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.)