Credit Risk Measurement and Management
A credit risk is the risk of default on a debt that may arise from a borrower failing to make required payments. In the first resort, the risk is that of the lender and includes lost principal and interest, disruption to cash flows, and increased collection costs. The loss may be complete or partial. In an efficient market, higher levels of credit risk will be associated with higher borrowing costs. Because of this, measures of borrowing costs such as yield spreads can be used to infer credit risk levels based on assessments by market participants.
Credit Risk Measurement and Management – A 2-Day Workshop
This area focuses on a candidate’s understanding of credit risk management, with some focus given to structured finance and credit products such as collateralized debt obligations and credit derivatives. The broad areas of knowledge covered include the following:
- Credit analysis
- Default risk: Quantitative methodologies
- Expected and unexpected loss
- Credit Value-at-Risk (VaR)
- Counterparty risk
- Credit derivatives
- Structured finance and securitization
What Will You Learn
At the end of the workshop, participants should be able to understand:
- The key themes of credit risk management.
- Portfolio and structured credit risk.
- Counterparty risk – ways of managing and mitigating counterparty risk and describe the effects of netting, compression, and collateral on credit exposure.
- Risk management and scoring models of retail and corporate credit risk
Who should attend
Anyone with an interest, and/or role, in embedding and reviewing how financial risk is managed throughout an organization and in identifying, assessing and controlling risk at the strategic, programme, project and operational level within an organisation. This includes:
- Portfolio, programme and project management offices
- Programme managers and project managers
- Business Change Managements and Business Analysis
- Investment Managers, Investment Analysis and Business Case Developers
- Front-line managers, middle managers and strategic managers
Workshop Duration: 2 Days