ReCh Management Centre - Credit Risk Modelling For Financial Institutions - Credit Risk Modelling For Financial Institutions - View courses templates

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Credit Risk Modelling For Financial Institutions

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Start DateVenue1 Week2 Weeks

Request a dateLondon 2,750 4,200
Request a dateLondon 2,750 4,200

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Course Overview

Credit risk has only recently in history translated into modelling for a complete view of credit risk on a portfolio basis. Before new post-2007-crisis regulations emerged, new modelling techniques have been devised, not all of them successful, to ensure that the overall credit-risky positions were well understood and made more conform to what a financial institution thinks of itself and of its mission. In this course, we provides an overview of credit risk and a review of the modern techniques to model and quantify credit risk components such as probability of default and loss given default, in all areas of lending. There are no formal prerequisites. 

Course Objectives

At the end of the course delegates will be able to:

Understand practical insights of what it takes for a bank to set up a sensible and compliant framework for modelling credit risk
Analyse individual credit risks
Understand and put a critical view on existing modelling frameworks

Course Outline

Prerequisites to credit risk modelling
Credit risk and Basel Accords
Modelling and capital requirement in Basel III
Pillars 2 and 3 in Basel, for credit risk
Traditional credit risk modelling
Altman Z score
Portfolio-based credit risk models
Validating credit risk models

E-Reader Included

*Course fee is not inclusive of VAT

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