Advanced Credit Risk Workshop

ANALYSIS FOR STRATEGIC APPLICATION: Credit Risk Track Excel Focused Technical Skill Development

2 DAY COURSE

Qualifies for CPD and 14 CPE Credits

INTRODUCTION

Analyzing creditors and credits in separation is the initial step in efficiently managing the institution’s capital available for loan underwriting. The purpose of this workshop is to analyze the various credit risk factors and how these risk factors can be measured, controlled, and reduced in financial institutions. The course examines the most efficient way credits can be assessed. This intensive and highly interactive course includes the latest practical and theoretical developments in credit risk analysis and management and offers practical case studies, group activities, and interactive Excel exercises to reinforce both the various concepts and the relationship among these concepts.We strongly encourage delegates to ask questions to maximize benefit and, as such, times may vary during the day from the printed schedule. There will be adequate time allocated for refreshment breaks, lunch and for delegates to network and discuss the issues being addressed.

Who should attend?

This intensive and interactive training course is designed for practitioners, with limited knowledge of credit and credit risk management. As its primary objective, the course aims to provide an understanding of corporate and retail credit risk.

What will you get out of this course?

• Gain understanding in evaluating a company’s performance and capital structure using both qualitative and quantitative frameworks and tools
• How to assess corporate financial and business performance based on a qualitative and quantitative analysis
• Learn how ratings, indicators, and bond and CDS spreads price risk
• The market view on a credit
• Forecast future corporate financial and credit performance and repayment
• Understand how to incorporate credit risk Value-at-Risk calculations
• Practical demonstrations of the above will be provided throughout the workshop through interactive Excel spreadsheets that the delegates will be able to use after the course

COURSE OVERVIEW AND OUTLINE

For this intensive and highly interactive course, all delegates are strongly recommended to attend the workshop with a laptop computer loaded with Microsoft Excel.

Calculating default risk

• Factors predicting default
• Credit ratings, historical record, cumulative and marginal rates, transition probabilities, time horizon
• INTERACTIVE GROUP SESSION: Manipulating credit transition matrices in Excel

Loss given default and default dependencies

• Estimating recoveries and defaults, history and determinants of recovery rates
• Market information to aid the recovery process
• Correlations and other default dependency models
• Empirical findings on default dependencies
• INTERACTIVE GROUP SESSION: Combining market and credit risk information in a copula; fitting recovery functions to loan portfolio

Predicting default – structural models

• Equity models: Merton and KMV credit monitor
• Bond models: Credit spreads
• INTERACTIVE GROUP SESSION: Comparing structural models to predict default

Credit risk portfolio models

• CreditMetrics, CreditRisk+, and Moody’s KMV
• Credit portfolio view
• INTERACTIVE GROUP SESSION: Comparing different models

Analyzing credit portfolios

• Exposure limits
• Distribution of credit exposure
• Calculating risk-adjusted performance measures for individual assets and portfolios
• INTERACTIVE GROUP SESSION: Calculating portfolio risk-adjusted performance metrics; setting and measuring exposure limits

Stress-testing credit portfolios

• The importance of stress-testing
• Simulating stresses or replicating historical events
• Qualitative considerations in stress-testing
• Basel II and stress-testing
• INTERACTIVE GROUP SESSION: Stress-testing a portfolio and analysis of portfolio performance metrics

Credit portfolio optimization and bank risk capital

• Integrating credit risk, portfolio optimization and bank risk capital
• Optimal allocating of risk capital
• INTERACTIVE GROUP SESSION: Calculating bank risk capital in a dynamic framework

Calculating credit VaR

• VaR as a risk-measurement tool
• Estimating credit VaR from historical data
• The impact of statistical distributions on VaR modeling
• INTERACTIVE GROUP SESSION: Using Excel to calculate credit VaR for a por