FINANCIAL MARKET COURSES
Japanese Equity Market
Receivable Finance (New)
Lending - An Introduction
The Lending Cycle
Commodities - An Introduction (Revised)
Commodities - Trading (New)
Commodities - Livestock (New)
Commodities - Softs (New)
Primer – MiFID II/MiFIR (New)
Understanding Private Wealth Management Business
Private Wealth Management Products & Services
Primer – Smart Beta (New)
Available on iPad and Android tablets as well as desktop
Credit Risk Measurement – EAD & LGD
Exposure at default (EAD) and loss given default (LGD) are core components of the credit risk measures used to determine bank capital requirements (risk-weighted assets) and to manage credit risk (expected loss). This course describes the fundamentals of EAD as a measure of credit risk, the calculation of EAD values, and the issues to be considered when calculating EAD. The course also explains the role of loss given default (LGD) in measuring credit risk, the steps involved in calculating LGD rates, and the key factors that influence LGD values.
On completion of this course, you will be able to:
• Calculate EAD for credit facilities and outline the key issues associated with EAD as a measure of credit risk
• Calculate LGD and describe the key drivers behind LGD values
Topic 1: Exposure at Default (EAD)
• What is Exposure at Default (EAD)?
• EAD Formula
• EAD Calculations
• EAD for Revolving Facilities
• EAD for Contingent Obligations
• EAD for Other Products
• EAD: A Note of Caution
Topic 2: Loss Given Default (LGD)
• What is Loss Given Default (LGD)?
• LGD Formula
• Actual Loss
• Recovery Rates & Actual LGDs
• LGD Drivers
• Determining LGD Values
• Calculating Customer & Facility LGDs
o Worked Example
• Issues with LGDs
Credit Risk Measurement – PD & Risk Rating - View Now
ESTIMATED COMPLETED TIME
Credit Risk Measurement – Capital Calculations
This course describes the two Basel approaches that banks can use to calculate risk-weighted assets (RWAs) for credit risk – Standardized Approach (SA) and Internal Ratings-Based (IRB) approach.
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