Fundamentals of Credit Risk

Background of credit risk management
  • Definition, background and regulatory developments
  • Set up of credit risk division and benchmark
  • Market segments (large/small corporate, financial institutions etc.)
Credit decision process
  • General process description
  • Analysis of credit risk at transaction level
  • Credit history, rating and RAROC
  • Mitigating credit risk: guarantees, structuring, covenants
  • Practical workshop
  • Analyse a corporate and grant a credit
  • The credit committee decision
Predictable RAROC of a transaction
  • Internal management objectives and price of funding
  • Use of Basel parameters
  • Calculating RAROC and EVA, economic capital / regulatory capital
  • Sensitivity of RAROC to some parameters (eg rating)
  • Impact of risk mitigation factors on RAROC
  • Practical workshop
  • Examples of RAROC calculations
Basel II and the liquidity crisis: major impact on the financing of corporate
  • Challenges of global credit risk management: from Cooke to Basel II and economic capital
  • Calculating average unexpected losses
  • CDS spread and risk premium
  • Portfolio analysis: concentration or diversification
  • Optimisation tools: by name or for the whole portfolio
  • Dynamic hedging
  • Book management indicators
  • Practical workshop
  • Reduction of regulatory capital
  • Liquid First-to-defaults
  • CDO rating
  • Risk analysis and optimisation of a portfolio
Anticipating and managing credit quality deterioration
  • Monitoring tools: financial analysis, spreads, soft data, specialised data providers
  • Warning signals and stress testing
  • Actions and exit strategies
  • Practical workshop
  • Post-mortem analysis of various bankruptcies
Recovery by mutual agreement and portfolio restructuring
  • Phases and mechanics to reach a mutual agreement
  • Restructuring debt: guarantees, terms, cash flows
  • Restructuring a portfolio: reducing concentrations, selling and hedging
Provision and litigation
  • Ex ante and ex post provisioning in IFRS
  • Collective and individual provisioning
  • Phases and mechanics of litigation
  • Practical workshop
  • Calculate provisions for various scenarios based on different types of portfolios and an individual exposition
Regulatory developments and impacts on risk management

  • Master the most recent techniques of credit analysis
  • Develop risk culture and price risk accordingly
  • Master the process of credit decision
  • Know the global challenges faced by credit risk managers and the tools used to increase the performance of a portfolio
  • Understand the concepts of RAROC and EVA and their applications in the global management of risk
  • Use credit derivatives and structured credit products to manage credit risk
  • Understand the warning signals of credit quality deterioration
  • Restructure a credit portfolio to extract the maximum value
  • Understand on what elements credit decisions are made
  • Acquire essential tools to manage credit risk along the whole length of credit exposure
  • Without entering the intricacies of credit models, understand the pros and cons of the various methods
  • Learn the lessons gained from the 2007 – 2009 crisis
  • Credit analysts, credit managers
  • Coverage
  • CRMs
  • Internal control / Audit / Inspection
Close

Send a link to this seminar

You can recommend this seminar to your contact using this form. A link to this page will be included in your message.