Credit Risk Modelling
Credit Departments within banks have become increasingly complex driven by the demands of regulation and business practice. The current crisis has put all modelling approaches under high levels of scrutiny. This has resulted in greater concern over attributes and approaches as well as changes to validation approaches adopted. Generally, there has been an increased used of modelling credit risk as a risk as a result of the implementation of the Basel Accord, IFRS 9 and also the developments in the global credit markets. This course looks at the key modelling techniques that are applied and highlights these to meet the demands of these requirements.
The course is tailored for both the student and practitioner, and the objectives are to make the participant completely understand the credit risk modeling process. This includes creditworthiness assessments, early warning indicators, variables in the model selection process, key risk indicators like credit value at risk (CV@R) and expected shortfall (ES). There will be hands-on exercises on variables selection, understanding correlations between credit and market risk factors, probabilities of default, loss given default, and the entire credit risk cycle.
The course is aimed at participants keen to know more about Credit risk, Model risk, Risk modelling, credit Risk specialisation, credit stress testing, the role of Internal auditors, and indeed any others with interest in credit risk modelling, and is Suitable for all participants who wants to understand credit risk modelling.
The participant will completely understand the credit risk modeling process. Including creditworthiness assessments, early warning indicators, variables in the model selection process, key risk indicators like credit value at risk (CV@R) and expected shortfall
Start date: Monday, August 29, 2022.
End date: Wednesday, September 21, 2022
From 17:00 to 19:300 hrs. (Mexico City Time)
Duration of the Program: 20 hours / 8 sessions