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)
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Credit Risk Measurement
Courses In This Course
The global financial crisis highlighted many issues, not least of which was some extraordinary mismanagement of credit risk. Post-crisis reviews pointed to a major breakdown in loan underwriting standards and indicated that far too much lending prior to the crisis was either irresponsible or not very prudent. As events proved, banks and other financial institutions can lose billions, or even go out of business, due to their failure to manage credit risk properly.
This course, Credit Risk Measurement, is part of a series of courses that are designed for financial market professionals looking to better understand and manage credit risk in a post-crisis world. Rather than focusing on how to perform credit analysis, the series adopts a “top-down” view of credit risk and its management, covering many areas that are not currently well articulated. While financial analysis has a role, well-trained bankers need to understand much more than financial statements and ratios in order to determine the ability of borrowers and counterparties to repay their obligations.
This series of courses is aimed primarily at those working in a commercial/wholesale credit environment where risk assessment and credit approval is based on objective and subjective analysis and experience. However, much of the material is sufficiently generic to be relevant to retail/consumer/SME banking institutions as well.
CREDIT RISK MEASUREMENT - AN
This course explains the various measures that enable banks and other institutions to estimate or measure the level of credit risk to which they are exposed. These measures include absolute currency amounts for products such as term loans and estimated currency amounts for products where credit risk varies due to market price/rate movements, in addition to risk-weighted assets (RWAs) and measures of expected loss (EL). The course also outlines some of the limitations and complexities associated with these credit risk measures.
Credit Risk – Measurement & Capital Requirements
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CREDIT RISK MEASUREMENT - PD & RISK
This course describes probability of default (PD), the factors that affect it, how it is calculated, and how it can be converted into an internal credit rating. The course also outlines some of the issues associated with PDs and internal credit ratings, in addition to the differences between internal and external credit ratings. The role of credit rating agencies in the provision of external ratings is also described in detail, along with the main issues surrounding the use of such ratings.
Credit Risk Measurement – An Introduction
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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.
Credit Risk Measurement – PD & Risk Rating
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CREDIT RISK MEASUREMENT - CAPITAL
It is critical that banks’ risk exposures are backed by a high quality capital base. But the global financial crisis showed that this was not the case. As a result, significant revisions were made to the Basel capital framework as part of the Basel III reforms.
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. The course also discusses the key changes implemented by Basel III in relation to RWA calculations and outlines some of the ongoing issues surrounding RWAs. In addition, the definition of qualifying capital and the associated calculations are described in detail.
Credit Risk Measurement – EAD & LGD
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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.
Credit Risk Measurement – Capital Calculations
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