Credit Portfolio Risk Management

Name: Credit Portfolio Risk Management
Brand: Euromoney Learning
SKU: 606538

Euromoney Learning

Course summary

Professional Training

4 days

4,405 GBP excl. VAT

Euromoney Learning

London, Online courses

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Course description

Credit Portfolio Risk Management

This Credit Portfolio Risk Management course is designed to help you understand the significant components and features of credit portfolio modelling and management (CPM).

You will learn how a broad range of risk modelling and risk assessment approaches can be brought together to enable risk-based pricing and assessment - ultimately enabling portfolio managers to choose investments based upon fundamentals as well as market dynamics.

During the course the instructor - a former senior executive board member and CRO of a large emerging markets publicly-listed banking group - will also endeavour to offer his experience in developing CPM techniques to fit the emerging markets landscape. This would include discussions of how the CPM framework can be developed in lieu of a complete systems architecture when credit reference and credit rating bureaus are not available and when data and past history on customers is sparse.

Primary focus is also given to best-practice and to quantitative methods that are actually demonstrated to work in practice across many of the 40 countries and 4 continents in which instructor has direct experience.

Training Course Content

During this course, participants will learn:

The elements necessary for internally developing and testing a ratings and scoring system that can be used with various exposure types—including privately listed, small to medium-sized enterprises (SMEs)
How to integrate a quantitative, credit scoring platform with a qualitative ratings system in Basel II/III-compliance fashion
How to develop the necessary CPM databases for estimating and validating scoring models and risk components, such as Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD)
Portfolio-level measures of risk, including measures of concentration using Copulae, tail dependence and other advanced measures
How to use Monte Carlo simulation and basic programming to develop and test scoring models and to model portfolio dependence, persistence, dynamics and stress-testing
How to use this integrated system in both origination and portfolio management activities
How to assess Expected Loss (EL) for provisioning and Unexpected Loss (UL) for capital allocation—both on a standalone and portfolio basis
How to create a Risk-Adjusted-Performance-Measurement (RAPM, aka RAROC) system

As well as useful techniques related to specific topics, such as:

Strategies for extracting important information from problem accounts
How to explain quantitative model results to qualitative-oriented directors and shareholders

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4.75/5 rating on course check for service

25,000 professionals trained across public courses

99 countries where training is delivered

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About provider

Euromoney Learning

We develop bespoke learning experiences with the perfect blend of technologies and techniques to help you succeed. An organisation’s ability to continuously learn and evolve rapidly is the ultimate competitive advantage. To achieve your strategic goals, it is essential to...