From 06 May 2018 to 09 May 2018    International Foundation Level for Compliance Officer Function    in Cairo / Egypt

Risk Management: Measuring & Managing Credit Risk/Counterparty Risk in Banking

in collaboration with the House of Training Quality Circle in Risk Management with ALRiM

Objectives:

The objective of the seminar is to provide the participants with a strong knowledge of key aspects of Credit Risk Assessment in general with a particular focus on Counterpart Creditworthiness, Rating Models and Definition / Implementation of a Default Probability Framework for banks, asset management and private banking firms.

The participants will get acquainted with the main theoretical foundations of assessment and measurement and with the practical techniques used in dealing with the daily issues facing risk management departments.

By following this seminar, the participants will be able to integrate the learned concepts into real practice in their respective work as the course aims at mixing theoretical and practical aspects of risk management in a systematic way.

Target Group:

Banking professionals with at least 3 years experience working in a banking environment. The course will particularly interest risk managers, auditors and managers from different banking areas. A good command of English is required.

in HoT-ATTF partner countries:

3 - 4 days (depending if sequential translation or not), 1 day will be general introduction to Risk Management

 

Detailed programme Explode

Introducing Credit Risk

  • Type of Financial Contracts (Loans, Bonds, OTC Derivatives and ForEx)
  • Current vs. Potential Exposure
  • Credit Event (Default)
  • Financial Loss
  • Overview of quantitative tools

Assessing Credit Risk

  • Rating Systems
  • Default Probability (PD)
  • Loss Given Default (LGD)
  • Exposure at Default (EAD)

Measuring Credit Risk (Expected & Unexpected Losses)

  • Economic Capital Measures: Value-at-Risk and Expected Shortfall Metrics
  • Portfolio Approaches: The Role of Correlations in Credit Risk

Stress Testing and Scenario Analysis

Back Testing Value-at-Risk and Model Calibration

Basel Frameworks

Summary and Conclusions

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