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FINANCIAL MARKET COURSES

Credit Risk Measurement – Models

Banks and other financial institutions rely heavily on quantitative analysis and models in nearly all aspects of their financial decision-making, including credit risk measurement and management.

 

This course describes the key components of a credit model, the many uses of model outputs, and the broad types of credit model used by banks. It also examines the various stages of the credit model lifecycle and the challenges that banks and other financial institutions face to ensure models are reliable and robust. Finally, the course outlines how model risk arises from the use of credit models, as well as the structures that should be in place to manage this risk.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Explain why banks use credit models to measure credit risk and the factors to be considered when using these models to make decisions

    Describe the various types of model risk that arise from the use of credit models and outline some of the ways in which this risk can be minimized

  • COURSE OUTLINE

    Topic 1: Overview of Credit Models

    What is a Credit Model?

    Using Credit Model Outputs

    Credit Model Lifecycle

    Credit Model Governance

    Making the Most of Credit Models

    Types of Credit Model

    o Structural Models

    o Reduced-Form Models

    Credit Model Issues

    Topic 2: Model Risk

    What is Model Risk?

    Alternative Approaches & Model Risk

    o Internal Model Migration

    o Expert Panels

    o Third-Party Models

    Model Risk Management

    Model Risk Framework

    o Requirements

    Model Risk & The Financial Crisis

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    60 Minutes

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