An intensive 4 day strategic management course for banks featuring:
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Defining Credit Risk
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Overview of Risk Adjusted Performance
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Value at Risk
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Economic Capital Allocation
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Asset Value Models
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Models for the Retail Portfolio
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Jarrow–Turnbull
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Stress Testing
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PD Estimation
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Loss Given Default Estimation
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EL & UL
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Portfolio Credit Modelling
- RAPM Usage
YOU WILL LEARN ABOUT
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How to implement and test Basel II-compliant, quantitative scoring and qualitative ratings systems
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How to establish a default database correctly as well as data capture and IT infrastructure considerations for supporting credit risk measurement
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Understanding the practical (as opposed to textbook) nuances of credit modelling for single exposures and portfolios--particularly for new and emerging markets
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Understanding practical quantitative and qualitative credit modelling issues surrounding retail and small to medium size enterprise (SME) portfolios
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Understanding how to properly estimate Probability of Default (PD), Joint Probability of Default (JPD), Loss Given Default (LGD) and Exposure at Default (EAD), correlation and volatility
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Regulatory and economic capital determination for single exposures and for portfolios
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Understanding how to stress test credit models for portfolio capital allocation during
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Risk-Adjusted Performance Measurement (RAPM, aka "RaROC") and capital allocation for transactions and portfolios
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Applied exploration of statistical, structural and reduced-form models with practical variations for private, unrated portfolios
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Reconciling Basel II provisioning with IFRS (incurred loss) provisioning methods
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Loss distribution simulation
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Enterprise Risk Management (ERM) implementation considerations
WHO SHOULD ATTEND
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Front-line and senior risk managers will find the applied problems useful
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Senior executives (CFOs) will find that we discuss bank-wide implementation issues at every turn
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Supervisors will find the stress testing and capital considerations important
- Audit, IT and back office would be interested in the infrastructure and data collection issues
DAY ONE
Overview: Credit Exposures and Your Institution
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Defining credit risk
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Exposures in retail, wholesale, SME & specialised lending
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Discussion
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Managing credit risk single exposures versus portfolios
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Overview of Risk Adjusted Performance Measurement (RAPM/RaROC)
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Exercises
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Overview of value-at-risk
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Economic capital allocation
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Regulatory capital allocation (Basel II)
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Data collection and IT infrastructure considerations
Risk Model Selection
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Models for single, corporate, SME and project finance exposures
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Statistical models and techniques
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Excel exercises
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Asset value models
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Black-Scholes-Merton
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Crouhy-Galai-Mark
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Moodys/KMV
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Other innovations
DAY TWO
Risk Model Selection (Continued)
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Calibrating the models to the data that you have
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Using the models on publicly traded entities
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Building models for un-audited, private entities
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Models for the retail portfolio
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Statistical models
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Actuarial models
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Reduced-form models
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Jarrow-Turnbull
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Empirical default densities and transition matrices
DAY THREE
Model Usage/Component Estimation
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Validation and testing of the models
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Stress testing of the models
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Probability of Default (PD) estimation
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PD estimation when data are scarce
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PD estimation for retail portfolios
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Basel II requirements
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Loss Given Default estimation
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Various recovery models
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Examples (using Excel) of LGD techniques
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An LGD facility rating system
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Exposure At Default (EAD) Estimation
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A model for revolving exposures
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A model for non-revolving exposures
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Expected and Unexpected Loss (EL & UL) Estimation
DAY FOUR
Portfolio Credit Modelling and RAPM usage
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EL and UL for portfolios
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A Credit Metrics approach
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Risk contribution
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Using credit VaRs for economic capital allocation
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RAPM revisited with our models
- Concluding remarks
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Maurice Ewing
Dr Maurice Ewing, FRM
Globally-Experienced Risk Management Specialist
Dr. Maurice Ewing, FRM has trained and advised individuals from institutions worldwide in risk management - at both the executive and operational levels. Formerly on the full-time faculty of the Kellogg - HKUST business school, a Princeton PhD and a chartered FRM holder, Dr. Ewing opened the first dedicated, emerging markets risk management consultancy in 2003, basing it in Hong Kong. Since that time he has expanded his practice to Africa, Europe, Latin America and the Middle East. A specialist in resolving difficulties associated with quantitative implementation, Dr Ewing is renowned for his abilities to convey often complex concepts to non-specialists in simple terms and is a widely sought after speaker and adviser to boards of directors as well as regulatory supervisory panels. His banking experience stems both from his work at the Federal Reserve Board of Governors and the New York Federal Reserve Bank as well as his firsthand experience in advising numerous (successful) Basel II compliance efforts over 4 continents. Moreover, Dr. Ewing enjoys incorporating his wide range of experiences in his classrooms, always focusing solely on proven methods of practical implementation while balancing he pedagogical needs of his participants.
Apart from his membership in the Global Association of Risk Professionals (GARP), the Professional Risk Managers International Association (PRMIA), the Risk Management Association (RMA), Dr Ewing is an affiliate of the Institute of Risk Managers (IRM) and numerous other professional organizations. He currently lives in the Mediterranean with his wife and two small children, avidly reads Byzantine history, drives like he is from the region and occasionally practices Wing Chun kung fu. He is a terrible golfer.
Interested in holding this course in-house? Please fill out your details and a member of our team will be in touch with more information.
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