Enterprise Risk Management and M&E for Credit Risk Guarantee Projects
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Course Details
Introduction
Objective
Who should attend
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Treatment of credit risk has shifted dramatically since the global financial crisis of 2008. Before then, it was considered almost inconceivable that central investment banks and global insurers could default and create a systemic credit and liquidity crisis.
Since the crisis, there has been a universal re-thinking of most aspects of legacy risk management techniques. Financial regulators and the Basel Committee on Banking Supervision have emphasised the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration witnessed during the crisis.
Enterprise Risk Management and M&E for Credit Risk Guarantee Projects course focus on the actual practice of credit risk assessment within financial institutions and the quantitative and methodological tools and procedures at the cutting edge of measuring, mitigating and managing credit risk.
Course Outline
Fundamentals of Credit Risk
- The key macro and micro financial concepts behind, and drivers of, credit risk
- Measurement of credit risk and adverse outcomes
- Assessing credit risk and default probability of loan portfolios
- Key determinants for managing credit risk:
- Probability of default (PD)
- Exposure at default (EAD)
- Loss given default (LGD)
- Credit migration and transition matrices
- Fundamental analysis of financial statements, key ratios, and qualitative characteristics of the balance sheet
- Off balance sheet and contingent credit risk
- Market-based approaches, bond spreads, swap rates
- Counterparty credit risk
- Credit scoring, credit risk modelling, risk profiling and assessing creditworthiness
