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Comprehensive Economic Capital and Credit Risk Modelling Masterclass
Credit risk modelling techniques have advanced over the last 10-15 years in light of recent regulatory changes. The need to determine wholesale credit risk parameters (probability of default, exposure at default and loss given default) that are consistent with economic and Basel capital and can provide a useful framework for stress tests and CECL requirements has highlighted the importance of robust methodology and validation. This comprehensive and practical training will give participants an overview of various credit risk modelling techniques and applications, while going into details regarding Basel III / IV and CECL and providing extensive examples and case studies. A module associated with dealing with how Covid-19 affects the various credit risk estimates as used in different applications. At the end of this intensive course, participants will be equipped with ready-to-use frameworks for application in various areas of credit risk modelling. Enroll now and enhance your competence and knowledge.Testimonials
- This comprehensive and practical training will give participants an overview of various credit risk modelling techniques and applications, while going into details regarding Basel III / IV and CECL and providing extensive examples and case studies.
Details
- Appreciate the overall context of credit risk modeling in an effective risk management context.
- Understand specific challenges regarding CECL expected credit loss modeling as it went live in 2019.
- Comprehend how to develop solid credit risk models as well as adjust and leverage existing models for various applications.
- Advice as to how for both internal and regulatory purposes Covid-19 factors should be incorporated into estimates.
About The Trainer
- A Financial Risk Management Consultant with an international expertise in Risk Management methodological frameworks. His experience spans some 25 years, advising banks, software houses and others on risk management. Holds various degrees, including from London Business School, with post-graduate studies at the Technische (then West)-Berlin and Keio (Japan) universities. A Qualified in Islamic Finance (IFQ), he is a published author on risk management and Basel Accords, and a regular speaker at conferences. The client list includes ABN Amro, Barclays, Lloyds TSB, CDC Paris, Credit Suisse, DePfa, Deutsche bank, National Bank of Egypt, IBM Consulting, Sungard, the UK Regulatory body (then FSA, now PRA/FCA), Reuters and numerous other institutions of various countries and sizes. In addition to that, he offers training courses and workshops with participants from various banks around the world.
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