Risk Management - Credit Risk for Banks

Credit risk is the oldest form of financial risk. Although credit risk has existed since antiquity, we still have not perfected the way in which we manage it, as witnessed by the high-profile losses that are often reported in the press. This course provides participants with a good understanding of credit risk and the methods for managing it effectively.

• Understand the fundamental concepts of credit risk
• Evaluate and understand internal and external credit ratings
• Understand value at risk (VaR) and its use in measuring credit risk
• Explain the counterparty risk for derivatives, particularly over-the-counter derivatives
• Describe different credit risk models according to the recommendations of the Basel Committee

• Credit Risk
• Introduction and definitions
• • Typology
  • Counterparty Risk
  • Default Risk
  • Spread Risk
  • Settlement Risk
• Lending activities
• • Retail loans
  • Wholesale loans
  • Credit analysis
  • Internal credit rating systems
  • External credit ratings
• Debt instruments
• • Main features of debt instruments
  • Measuring credit risk for bonds
• Derivatives
• • Credit default swaps
  • Counterparty credit risk
• Key concepts of credit risk measurement 
• • Key variables
  • • Probability of default
    • Exposure at default
    • Loss given default
  • Default and transition matrices
  • Expected Loss (EL) and Unexpected Loss (UL)
  • Credit VaR
  • Credit portfolio models
• Future trends

This training course has been designed for a broad audience, i.e. for anyone wishing to acquire fundamental knowledge in Risk Management.

For this training course, an optional exam is available. In case of interest, candidates can choose a date from the list of proposed examination sessions. Registration for the exam must be made at least five days before the chosen exam date. The exam is subject to a registration fee.

The examination consists of true/false and multiple-choice questions. To pass the exam, a candidate must achieve a score of at least 50% of the total points on the exam.

This module is part of the Risk Management Certification. To obtain their certificate, candidates must complete 12 days of training in Risk Management and pass the exam for each course. 

More details here: Professional Risk Management Certification