Credit Risk Management and Measurement
In-house
This course will provide participants with an introduction to credit risk management, its major features as well as its monitoring and management strategies under the Basel II Accord.
Key features include:
- An explanation of credit risk and the type of products which generate this type of risk
- The Basel Accord and the regulation for credit risk measurement, management, supervision and disclosure
- A description of the approaches for calculating credit risk capital
- An explanation of securitization, credit derivatives and collateralisation and their Basel regulations
- An overview of credit risk supervision and disclosure
At the end of this seminar participants will have a thorough understanding of:
- The nature of credit risk and how this applies to financial products
- The factors involved, the information used and the methods employed in assessing credit risk
- What techniques are used in managing credit risk
- The regulatory framework within which credit risk management operates and Basel II
- The methods for calculating credit risk Capital
Pre-requisites
No prior experience of risk-based management, of the Basel II Accord, or of credit risk is required as this course first covers the basics before moving on to more advanced topics. However it is assumed that all delegates are familiar with common financial terms and have a basic understanding of banking and the functions of a financial institution.
Who Should Attend
This course is intended for those working in risk management, credit operations, or who wish to gain an understanding of risk-based regulation and how they are applied to credit risk. It will be of use to:
- Risk managers and analysts, business managers and team leaders
- Middle and back office personnel
- Internal and external auditors
- IT and operations professionals
- Regulators and supervisory professionals
- Anyone new to or working in credit risk management within financial services
- New entrants to the finance industry who wish to gain a more in depth understanding of credit risk
- Suppliers and consultants to banks and the risk management industry
Teaching Method
This is a very interactive course with many exercises, classroom discussions and case studies.
You will benefit from comprehensive take away course documentation.
In order to help us establish your individual and business concerns, you will be asked to fill pre-course questionnaire.
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.
Credit Risk Management and Measurement - A 3 Day Programme
Day 1 – Understanding credit risk and its management
Defining credit risk
- The Basel Accords
- What is credit risk?
- The different types of credit risk
- Sovereign
- Corporate
- Retail
- Systemic
- Counter party
- Concentration risk
- Expected and unexpected losses
Financial products
- Loans and overdrafts
- Government and corporate bonds
- Equity and mezzanine debt
- Credit derivatives
- Counter party exposure from traded products
- Trade finance
- Mortgages
- Credit cards
Case Study
Mitigating and managing credit risk
- The credit time line
- Bad debt, doubtful debt and default
- Credit assessments and scoring
- Corporate credit scoring
- Retail credit scoring
- Diversification and portfolio management
- Securitisation
- Collateral
- Credit derivatives
- Netting
- Cash flow monitoring
- Recovery management
Case Study
Day 2 – The treatment of credit risk under Basel
Calculating credit risk capital under Basel
- Risk-weights and risk-weighted assets
- Credit risk and Basel I
- Ratings and rating agencies
- Basel II and rating agencies
- The approaches for measuring credit risk capital
- Obtaining approval for using a measurement approach
- Data requirements and issues
Case Study
The Standardised Approach
- The nature of the Standardised Approach
- The Standardised Approach’s asset classes and risk-weights
- Off-balance sheet items
- Difference between Basle I and Basel II
Case Study
The Internal Ratings-Based approaches
- The nature of the IRB Approaches
- The IRB approaches and asset classes
- The IRB parameters
- Foundation based IRB Approach
- The Advanced IRB approach
- Back testing
- The usage test
Day 3 – Securitisation, collateral, supervision and disclosure
Securitization and credit derivatives
- The nature of Securitisation
- True sale
- The role of banks
- Securitisation under Basel II
- The Standardised Approach
- The Rating-Based Approach
- The Supervisory Formula
- Internal Assessment Approach
Case Study: The treatment of credit derivatives
Collateral
- Haircuts
- Collateral under Basel II
- The effect of collateral on credit risk capital
- The Simple Approach
- The Comprehensive Approach
- The Advanced Comprehensive Approach
Case Study
Credit risk under pillars 2 and 3
- What is supervision and disclosure?
- Home/host supervisory co-operation
- Credit risk under Pillar 2
- Counter party credit risk supervision
- The role of internal and external audit
- Pillar 3 and the external reporting requirements for credit risk
Our trainer is an investment and private banker with over 30 years experience in the UK corporate and private banking sector. He qualified as an associate of the Chartered Institute of Bankers in 1981 finishing as the top candidate for the year with distinctions and winning the Whitehead Prize for Monetary Theory. Mark has qualifications from Ecole Superieur des Affaires and the Chartered Institute of Securities as well as Investment for the Islamic Finance Qualification (IFQ).
He has been training for over 10 years and has lectured extensively throughout many parts of the world on a range on banking topics. He is a specialist in investment banking, Islamic finance, corporate governance and trade finance.
In-house Training
If you have a team of 4 or more this course can be customised and organised in-house at your convenience in any of your offices worldwide. Contact one of our advisors to find out more.
Call us now on +44 (0) 207 993 8597
