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Credit Risk Modelling For Financial Institutions

  /    /  Credit Risk Modelling For Financial Institutions

Credit risk has only recently in history translated into modelling for a complete view of credit risk on a portfolio basis. Before new post-2007-crisis regulations emerged, new modelling techniques have been devised, not all of them successful, to ensure that the overall credit-risky positions were well understood and made more conform to what a financial institution thinks of itself and of its mission. In this course, we provides an overview of credit risk and a review of the modern techniques to model and quantify credit risk components such as probability of default and loss given default, in all areas of lending. There are no formal prerequisites.

At the end of the course delegates will be able to:

  • Understand practical insights of what it takes for a bank to set up a sensible and compliant framework for modelling credit risk
  • Analyse individual credit risks
  • Understand and put a critical view on existing modelling frameworks
  • Prerequisites to credit risk modelling
  • Credit risk and Basel Accords
  • Modelling and capital requirement in Basel III
  • Pillars 2 and 3 in Basel, for credit risk
  • Traditional credit risk modelling
  • Altman Z score
  • Portfolio-based credit risk models
  • Validating credit risk models
Course Overview

Credit risk has only recently in history translated into modelling for a complete view of credit risk on a portfolio basis. Before new post-2007-crisis regulations emerged, new modelling techniques have been devised, not all of them successful, to ensure that the overall credit-risky positions were well understood and made more conform to what a financial institution thinks of itself and of its mission. In this course, we provides an overview of credit risk and a review of the modern techniques to model and quantify credit risk components such as probability of default and loss given default, in all areas of lending. There are no formal prerequisites.

Course Objective

At the end of the course delegates will be able to:

  • Understand practical insights of what it takes for a bank to set up a sensible and compliant framework for modelling credit risk
  • Analyse individual credit risks
  • Understand and put a critical view on existing modelling frameworks
Course Outline
  • Prerequisites to credit risk modelling
  • Credit risk and Basel Accords
  • Modelling and capital requirement in Basel III
  • Pillars 2 and 3 in Basel, for credit risk
  • Traditional credit risk modelling
  • Altman Z score
  • Portfolio-based credit risk models
  • Validating credit risk models

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