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Europe/EMEA/MENA Time Zones
CPEs: 16
Instructor: Gary Van Vuuren
Level: Intermediate
Tuition: £1,695.00
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NEW The Parameters of Credit Risk Measurement and Management RM102

Location: Europe/EMEA/MENA Time Zones

First Date: Jun 14 - 15 2021

Duration: 2 days/16 hours

Programme Director: Gary Van Vuuren

All Dates & Locations
Venue Details

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

All our 2021 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.

"Very vast and excellent presentation with excel examples which followed on."
Credit Risk Manager, African Bank, UK
Agenda Highlights

Session 1: The background of credit risk in general (contextualising the topic)

Sessions 2 and 3: Probabilities of default (PDs) and their importance, through the cycle and point in time PDs, Multiyear PDs and less than one year PD calculations, Marginal and cumulative PDs, The effect of curing on calculations involving multiple defaults

Sessions 4 and 5: The role of credit risk parameters in Basel (regulatory) capital rules – market and credit risk, The Basel regulatory formula, The Vasicek formulation

Sessions 6 and 7: The role of credit risk parameters in IFRS9 (accounting) impairment rules, Expected losses, Provision calculations

Sessions 8 and 9: Vasicek single and multifactor models,

Session 10 and 11: Regression formulae – the role of macroeconomic variables on PDs, Stress testing PDs, the credit curve – the term structure of PDs, LGDs – LGD estimation (pre-default and in-default)

Session 12: EAD estimation and measurement approaches and wrap up

 

"It was a well-organized seminar bringing up current issues in financial analysis and how the crisis has affected modelling of credit risk. It was useful in raising more awareness in the changing approach we all have to follow in looking at and interpreting figures and building up expected figures and building up expected figures both short-term and long-term."
Credit risk analyst, European Bank, UK
Overview

Probability is not well understood by humans – since we didn’t need to evolve the skill to survive. But it is hugely important, particularly in finance as it underpins much of quantitative analysis, risk management, regulatory risk, IFRS 9 accounting and more.

During this course delegates will explore the parameters of credit risk measurement and management which involve probabilities to a large extent: probabilities of default, losses given default and so on, so this will form a large component of the course. Delegates will also gain a thorough understanding of other parameters of credit risk, such as exposure at default and expected (and unexpected) credit loss measurement.

"I already had a prior knowledge on the subject but it was good to refresh my knowledge and also learn some new things."
Credit Risk manager, European Bank
Who Should Attend

Credit risk analysts, credit model builders and validators, and regulatory risk staff.

Additional Course Information

What Does It Cover?

What are probabilities of default (PDs) and why are they important?, Through the Cycle and Point in Time PDs, Multiyear PDs and less than one year PD calculations, Marginal and cumulative PDs, The effect of curing on calculations involving multiple defaults, The role of PDs in Basel (regulatory) capital rules – market and credit risk, The Basel regulatory formula, The Vasicek formulation, The role of PDs in IFRS9 (accounting) impairment rules, Expected losses, Provision calculations, Vasicek single and multifactor models, What are these and why are they important, Step-by-step rules for the Vasicek approach, The mechanism and assumptions behind the conversion from TTC to PiT, The role of credit rating agencies, The calculations governing the conversion from TTC to PiT PD, Regression formulae – the role of macroeconomic variables on PDs, Stress testing PDs, The credit curve – the term structure of PDs, LGDs – LGD estimation (pre-default and in-default), EAD estimation and measurement approaches, Putting it all together and much more.

 

Learning Objectives

Delegates will gain speciliast technical and behavioural knowledge, skills and approaches as to

  • Why do we need bank capital and who’s sets the rules?
  • What are the rules? And what are the credit risk equations?
  • PD estimation, LGD estimation, EAD estimation
  • Putting this all together – how do these components combine to improve and facilitate credit risk management and measurement?
Social Learning & Methods

Highly interactive expert-led intensive presentation, Q&A, using real-time Excel-based spreadsheet examples and case studies (available via email after the course is completed), reference to 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 The Parameters of Credit Risk Measurement and Management

Course Fee

Early Bird Discounts of 10% available by May 1, 2021

Course Fee (per person):
GBP £1,695.00 (+ UK VAT when applicable)

Number of delegates:

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