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.
Course Objectives
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
Our mission is the development of potentials in individuals and organizations in emerging economies. We believe that economies develop when entities within it are performing to their highest potential.
RELATIONSHIP
People matter to us. We are committed to understanding our clients so that we can serve them better. Our ultimate goal is to foster mutually beneficial longterm relationships with each of our clients that is built on trust.
KNOWLEDGE DISSEMINATION
Our faculty members are experts within their fields, and are supported by a network of dynamic back-office staff. We actively encourage collaboration and knowledge sharing, recognizing that winning ideas come from collaborative thinking. With the wealth of knowledge within our teams and our collaborative ethos, we create an atmosphere that is conducive to learning for all our delegates.