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Quantifying credit risk: approach via ratings, approach via structural models (KMV), approach via credit spreads, CREDITMETRICS™, CREDITRISK+™
Market risks
Defining and measuring exposure
Quantifying market risk (Value at Risk)
Practical workshop
Case study
Capital Allocation - Regulatory Approach (Basel II)
Approaches used for credit risk
Analysis of standard methods
Detailed presentation of both internal approaches: IRB foundation and IRB advanced
Practical implementation of Basel II
Implementing an internal ratings system
Defining default, calculating the PD, LGD and EAD
Adjusting maturity, risk-reduction factors, taking correlation into account
Practical application to various types of portfolio
Operational risk
Definition
Quantifying operational risk via a straightforward approach
Using internal methods to quantify operational risk
Differences Between Economic and Regulatory Approaches
Contrasting the effect of the two approaches on credit risk
Using models in management
At transaction level (quantifying individual risk, putting an internal price on the cost of risk to dealers)
At portfolio level (optimising portfolios based on the Return/Risk ratio)
Basel III developments
Description of the changes to be implemented in Basel III
New liquidity standards
Improvement of the quality of equity capital eligible to regulatory ratios
Reinforcement of equity capital allocated to trading: stressed VaR, introduction of Incremental Risk Capital to capture the risks ignored by market VaR…
Improvement of the calculation of counterparty risks in derivatives: EAD calculated with stressed data
Capital charge for market risks linked to CVA
Other developments
Understand every aspect of the Basel II reform
Learn methods of quantifying and managing credit risk
Master the current approaches to capital allocation (economic and regulatory)
Master the different approaches introduced by the Basel II reform
Use Basel indicators (PD, EAD, LGD, adjusting maturity, correlation...)
Know all the new aspects in Basel III
Highly operational approach
Essential knowledge for the application of the objectives and methods used by the reform
Description of the general background and detailed presentation of credit risk
In-depth analysis of the different Basel II approaches: regulatory and economic approach
Presentation of the dynamics of the Basel II reform: description of the evolutions presented in the Basel III framework
Operational management and risk management positions, particularly credit risk management, credit portfolio management and ALM
Sales management and capital markets
Departments involved in the setting up of Basel II reforms: IT, accounting, etc.
Consultants working on Basel II/III reform-related issues
