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.

Outline:

• 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.

Who Should Attend:

• Credit Risk Modelling
• Accounting/Finance
• Model Development and Validation
• Quantitative Analysis
• Enterprise-Wide Risk Management
• Risk / Finance IT Delivery