Basel II Risk Modelling
London, The City - Dates TBA
A 2 day computer based training focused on building risk models for Basel II. The course starts with the introduction to model building and analysing main statistical parameters. Delegates will learn how to estimate credit scores and default probability using Merton and Poisson's approaches as well as measure the performance of the models. Finally, estimating the portfolio loss distribution using Monte Carlo Simulation will be explained.
Training Level: Introductory to Intermediate.
We are also offering a course on Operational Risk Management for Basel II. Contact us to find out more.
Main Topics Covered During This Training
- Introduction to Basel II modelling
- Main statistical parameters and their interpretation
- Estimating credit scores
- Estimating default probability
- Measuring performance of the models
- Credit metrics approach
- Portfolio loss distribution using Monte Carlo Simulation
Who Should Attend
Managers and Professionals from Regulatory Bodies, Investment Banks , Rating Agencies, Consultancies and other Financial Institutions:
- Regulatory and Economic Capital Reporting
- Financial Reporting
- Credit Risk Management
- Risk Modelling
- Data Managers
- IT Managers
Teaching Method
1. The content of this course is highly practical and build around case studies and computer-based exercises to equip you with the financial statement reading and calculating skill set on completion.
2. Small group (between 8-15 people) allows you to interact with the trainer and other participants and ask as many questions as you want.*
3. If required, you will receive some support after the course completion.
4. In order to help us establish your individual and business concerns, you will be asked to fill pre-course questionnaire.
5. You will benefit from comprehensive take away course documentation.
* We reserve the right to accept up to 20 people per class.
Because of the nature of the course the number of places is limited and will be filled on first come, first accepted basis. We advise to book in advance in order to avoid disappointment.
Delegates are requested to bring laptops. If required we can provide a laptop for an additional fee of £100 + VAT
Basel II Risk Modelling - A 2 Day Programme
1. Basics of Statistics and Econometrics
- Introduction, theory and model building
- Main statistical parameters and their interpretation
- Stats in Excel and other programs
- Data structure
2. Estimating credit scores with logistic regression
- How to specify scoring model using statistical technique of logistic regression
- Theory, Model and Excel implementation
- Estimating coefficients in Excel
- Computing logistic regressions stats
3. Default Prediction using contingent claims approach of Merton
- Estimating default probability with option pricing techniques
- Excel implementation and parameter estimation
4. Linear Regression model for predicting defaults
- Estimating default probability with ordinary least square approach
- Excel implementation and parameter estimation
5. Poisson Regression model for default prediction
- Theory, Poisson Model structure and Excel implementation
- Estimating coefficients in Excel
6. Backtesting various default prediction models
- How do we measure the performance of models
7. Credit Metrics Approach
- Details of the approach
- How to obtain portfolio loss distribution using Monte Carlo Simulation
- Comparison to other approaches
8. Basel II and beyond
Dr Mustafa Cavus
Mustafa is a highly skilled consultant, analyst, quant and a risk manager. Over the last 13 plus years he has worked in commodity and asset management industries. His most recent positions involved being a risk manager at Threadneedle Asset Management and Head of Quantitative Analysis at TXU Europe Energy Trading.
His experience covers a wide range of asset classes: equities, bonds, commodity and credit. He has a strong understanding of derivatives and structured products & pricing and risk management. He is an expert in the whole risk life-cycle: analysis, quantification, reporting, control, policy design. Mustafa has hands on approach to quantitative challenges, risk analysis and modeling - designed and built large number of models for derivatives pricing and risk management
His consulting experience covers both financial and energy trading and risk management clients. His first consulting assignments date back to 1996 where he worked for the UK banking regulatory body, the Financial Services Authority on a regulation study.
Mustafa published two books on option pricing and contributed to several others publications inlcuding some on Basel II. He has presented at various professional and academic conferences, workshops and seminars.
Mustafa holds a PhD in Applied Financial Mathematics from Manchester University and a first degree in financial economics from the univesity of Cologne (Germany).
April 2010 London, The City
Early Bird £ 1750 + 17.5% VAT
Regular Price: £1995 + VAT
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DISCOUNTS
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2 people - 5%, 3 people - 10% discount. Delegates have to be from the same company and register at the same time.
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If you book for 2 full time courses at the same time you will receive 10% off the value of the cheaper course.
IN-HOUSE TRAINING
If you have a team of 4 or more this course can be customised and organised in-house at your convenience. Contact one of our advisors to find out more.
Call us now on +44 (0) 207 193 5035
or send an e-mail to enquiry@eurekafinancial.com
