E-Learning Course: Credit Risk Modeling

  • ID: 310023
  • Training
  • KESDEE Inc
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A comprehensive e-learning product covering four best-known credit risk models

Themes of the course:

- Conceptual approaches to credit risk models
- Comparative analysis of famous credit risk models

Course Overview

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

After completing this course you will be able to:

- 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

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 our 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

Course Level & Number of Courses: Intermediate Level, Library of 6 Courses

Instructional Method: Dynamic, Interactive e-learning

Recommended Background: Familiarity with basic financial concepts

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Library of 6 Courses

Time taken to complete each Course: Two - Three hours

1 Conceptual Approach to Credit Risk Modeling

- Objectives
- Introduction
- Distribution of credit losses
- Conditional vs. Unconditional models
- Approaches to credit risk aggregation
- Correlation between credit events

2. JP Morgan's Credit Metrics

- Objectives
- Introduction
- CreditMetrics
- Outputs
- Applications

3. CSFB's CreditRisk+

- Objectives
- Introduction
- Modeling CreditRisk+
- Application

4. KMV Portfolio Manager

- Objectives
- Introduction
- KMV model
- Distance to default

5. Credit Portfolio View

- Objectives
- Introduction
- Default prediction model
- Conditional transition matrix

6. Credit Portfolio Management

- Objectives
- Introduction
- Credit Portfolio Management Approach
- Credit Risk Management Tools
- Credit derivatives and asset securitization

Set of 2 interactive Job Aids

- Regulations
- References

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Question Does the product go into depth on how the BASEL Accords are used, Solvency, measurement in creditworthiness?
Answer The core objective of this product is to illustrate how credit risk is quantified, managed, and modeled through various credit risk models. It does not correlate the various models or underlying approaches of loss/creditworthiness measurement to the regulatory requirements set by the Basel committee.
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