This four-day course reviews credit models as implemented in major financial institutions while pointing to significant improvements made in light of the financial crisis.
The course covers four building blocks of Credit Modelling:
Internal Credit Scoring (rating) Models
Pricing Models for Credit Derivatives and Structured Credit Products
Counterparty Risk Assessment Models based on Potential Future Exposure at Default
Capital Allocation Models for Credit Risk, also known as “Credit Portfolio Models”
For each building block, the course dedicates one full training day. Each block starts with a concept review of the models applied and an assessment on how they fared during the crisis of 2007-2009. Key potential areas of model improvements as well as back/stress testing mechanisms are being discussed in an interactive way. Course participants will be challenged via live case studies to apply their experiences for improving models. The trainer will moderate the discussions while soliciting creative solutions from the participants and will draw conclusions which will be compared against industry best practices.
Who is this course for?
Financial Risk Managers
Financial Industry Regulators
Credit Portfolio Managers