Credit Risk Modeling

 
  • Price: US$ 150.00
  • Publisher: KESDEE
  • Number of modules: 6
  • Length: 12-18 hours
  • Language: English
  • Subscription: 12 months
whats-included

Tools and Knowledge for Modeling and Understanding Credit Risk

After completing this course you will be able to:

  • Build loss distribution and measure expected and unexpected losses
  • Select the appropriate credit risk model according to requirements
  • Understand various techniques for portfolio credit risk management

In this course, you will learn credit risk models and how to manage 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.

This course focuses on:

  • Conceptual Approach to Credit Risk Modeling, the 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

 

Corporate training buyers: contact us for pricing and free trial for your company.

 
 

Credit Risk Modeling: 6 modules of 2 - 3 hours each

 

Course Outline

 

1.  Conceptual Approach to Credit Risk Modeling

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

 

2. JP Morgan’s Credit Metrics

  • CreditMetrics
  • Outputs
  • Applications

 

3. CSFB’s CreditRisk+

  • Modeling CreditRisk+
  • Application

 

4. KMV Portfolio Manager

  • KMV model
  • Distance to default

 

5. Credit Portfolio View

  • Default prediction model
  • Conditional transition matrix

 

6. Credit Portfolio Management

  • Credit Portfolio Management Approach
  • Credit Risk Management Tools
  • Credit Derivatives and Asset Securitization