E-Learning Course: Credit Risk Modeling (Library of 6 courses)

  • ID: 3001320
  • Training
  • Region: Global
  • KESDEE Inc
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This product deals with credit risk models and management of credit risk. Credit risk models provide a framework for quantifying credit risk in portfolios of traditional credit products (loans, commitments to lend, financial letters of credit), fixed income instruments, and market-driven instruments subject to counterparty default (swaps, forwards, etc.). This product focuses on: Conceptual Approach to Credit Risk Modeling, most widely accepted credit model developed by reputed agencies such as JP Morgan, Credit Suisse First Boston, McKinsey and KMV. Managing credit risk on a portfolio level with special emphasis on active credit portfolio management approach

Learning Objective:

- Build loss distribution and measure expected and unexpected losses
- Select appropriate credit risk model as per organization’s requirements
- Understand various techniques for portfolio credit risk management
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Target Audience

Every professional involved in the global financial services industry (as a provider, user, regulator or advisor of product/services, marketplace/exchange) would benefit from KESDEE’s innovative solutions.

Supervisory Agencies
Central Banks
Financial Institutions
Commercial Banks
Investment Banks
Housing Societies/Thrifts
Mutual Funds
Brokerage Houses
Stock Exchanges
Derivatives Exchanges
Insurance Companies
Multinational Corporations
Accountancy Firms
Consultancy Firms
Law Firms
Rating Agencies
Multi-lateral Financial Institutions
Others

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1. Conceptual Approaches to Credit Risk Modeling
This course discusses the various approaches to credit risk modeling. It explains:

The applications and hurdles in credit risk models
The distribution of credit losses
Conditional Vs. Unconditional models
The approaches to credit risk aggregation
The correlation between credit events

2. JP Morgan CreditMetrics
This course gives an introduction to CreditMetrics, the first available portfolio model for evaluating credit risk developed by JP Morgan. It discusses:

Introduction to CreditMetrics framework
Process followed to evaluate credit risk
Three powerful applications of CreditMetrics

3. CSFB's CreditRisk+
This course gives an introduction to credit risk management framework introduced by Credit Suisse First Boston (CSFB). It discusses:

CreditRisk+ model and its components
Stages in CreditRisk+ modeling process
Applications of CreditRisk+

4. KMV PortfolioManager
This course gives an introduction to credit risk model developed by KMV Corporation (after Moody's acquisition, it is called M-KMV). It helps the user understand:

KMV model
Distance-to-default
Expected default frequency
Advantages and weakness of KMV

5. Credit PortfolioView
This course gives an introduction to the credit risk model namely CreditPortfolioView developed by McKinsey. It discusses:

Methodology followed by CreditPortfolioView
Its default prediction model
Conditional transition matrix

6. Credit Portfolio Management
Topics covered include:

Portfolio theories
Traditional Vs. modern credit management approach
Credit risk management tools
Comparison of credit risk model
Credit derivatives and asset securitization
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