Credit Risk Modeling Training

Credit Risk1. Bank Risk Management

* Banking Crisis
* Role Of Banks
* Balance Sheet Risk Management
* Sources Of Risk
* Risk Management Process
* Basel II Regulation
* Credit Risk Components
* Credit Risk Management
* Financial Products
* Credit Derivatives
* Collateralized Debt Obligations

2. Credit Scoring

* Introduction
* Scoring Steps
* Score Types
* Application Scoring
* Behavioral Scoring
* Performance Window
* Characteristic Analysis
* Expert-guided Adjustments
* Linear Weighting
* Least Square Regression
* Logistic Regression
* Discriminant Analysis
* Determine PD
* Setting Cutoffs
* Scorecard Scaling
* Power Curve (Cumulative Accuracy Profile)
* Gini Coefficient
* Receiver Operating Characteristic
* Scoring Validation
* Stability Report
* Delinquency Report
* Scorecard Accuracy
* Credit Bureaus
* Business Objective
* Limitations

3. Credit Rating I

* Introduction
* Rating and Scoring Systems
* Rating Terminology
* Rating System Process
* Rating Philosophy
* External Rating Agencies
* Rating System at Banks
* Application and Use of Ratings
* Limitations

4. Risk Modeling and Measurement

* Introduction
* Determining loss due to default/downgrade
* Estimating PD / LGD / EAD
* LossCalc
* Amortization vs diffusion effect

5. KMV EDF Credit Monitor

* Introduction
* Measuring Probability of default
* Loss Given Default
* Distance to Default
* Merton Model
* Implied Asset Value Volatility
* Expected Default Frequency (EDF)

6. Portfolio Model For Credit Risk

* Introduction,
* Measure of Portfolio Risk,
* Concentration and Correlation, Credit Loss Distribution,
* Credit VaR

+ Covariance redit portfolio model using beta distribution,
+ Basel II portfolio model
+ Coherent risk measure
+ Expected shortfall
+ Stress test

7. JP Morgan Credit Metrics

* Introduction
* Credit Rating Transition Matrix
* Spread Curve
* Present Value Revaluation
* Incorporating Default Correlation
* Usage of Monte Carlo Simulation

8. Credit Suisse Credit Risk

* Introduction
* Credit Risk Framework
* Building Block in CreditRisk
* Credit Risk Loss Distribution

9. Monte Carlo Simulation

* Introduction
* Random Generator
* Probability Distribution
* Cholesky Decomposition
* Define Assumptions, Determine Forecast Variables
* Calculate credit loss distribution using default mode model
* Credit VaR vs expected shortfall

METHOD

Presentation

Discussion

Case Study

Evaluation

Credit Risk Modeling Training
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