Advanced Credit Risks for Financial Institutions
The course addresses best practices in both “bottom-up” as well as “top-down” credit risk management. The first day concentrates on best practices of developing suitable and sturdy credit scoring models compliant with the basel 2 internal rating models requirements (pillars 1&2). Examples of best in class model development and backtesting, stresstesting & calibration will be illustrated via case studies stemming from the leading banks in the field.
The second day addresses credit portfolio management and credit risk control. The main industry models are being described along with examples of their application for active credit portfolio management in leading banks. The course will also address means to use credit derivatives and structured credit products for balancing risk in credit portfolios and special attention will be placed on regulatory capital relief aspects compliant with the Basel II standards.
The second day addresses credit portfolio management and credit risk control. The main industry models are being described along with examples of their application for active credit portfolio management in leading banks. The course will also address means to use credit derivatives and structured credit products for balancing risk in credit portfolios and special attention will be placed on regulatory capital relief aspects compliant with the Basel II standards.
Reasons to Attend
- Lessons learned in credit scoring and especially calibration in the aftermath of the global
financial crisis
- Applications of credit portfolio models and adaptations based upon crisis experiences –
especially with respect to modeling default correlations
- Best practices in credit risk mitigation via netting agreements, credit derivatives
(such as CDS) and structured credit products (as means to hedging exposure)
- Outlook into future regulatory driven changes in the was the lending business is to evolve
financial crisis
- Applications of credit portfolio models and adaptations based upon crisis experiences –
especially with respect to modeling default correlations
- Best practices in credit risk mitigation via netting agreements, credit derivatives
(such as CDS) and structured credit products (as means to hedging exposure)
- Outlook into future regulatory driven changes in the was the lending business is to evolve
liquidity risk liquidity testing asset liquidity marekt liquidity liquidity training
Master Class Details
Date: October 12th & 13th 2010
Location: The Strand Palace Hotel, London
Price: £1995
Location: The Strand Palace Hotel, London
Price: £1995
Who Should Attend?
- Credit Risk Traders
- Credit Risk Managers
- Portfolio Managers
- Portfolio Modellers
- Asset Managers
- Auditors
- Consultants
- Credit Risk Managers
- Portfolio Managers
- Portfolio Modellers
- Asset Managers
- Auditors
- Consultants
Master Class Facilitator
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