Credit Portfolio Management Workshop

ANALYSIS FOR STRATEGIC APPLICATION: Credit Risk

Excel Focused Technical Skill Development

2 DAY WORKSHOP
(Workshop is not being offered at this time)

Qualifies for CPD and 14 CPE Credits

INTRODUCTION

With the rapid growth of credit risk trading, credit derivatives and loan securitizations, credit portfolio management now plays a critical function in a bank. This course explores the various components of the credit portfolio management process and teaches how to optimize, measure, manage, and hedge credit portfolios. The course also examines existing commercial tools for managing credit portfolios. This intensive and highly interactive course introduces delegates to the latest practical and theoretical developments in credit portfolio analysis and management and offers practical case studies, group activities, and interactive Excel exercises to reinforce both the various concepts and the relationship among these concepts.

Who should attend?

This intensive and interactive training course is designed for financial and risk management practitioners, with a base knowledge of credit risk measurement and management. As its primary objectives, the course aims to provide a clear and definitive understanding of the credit portfolio management process and the tools for managing a portfolio of credit assets.

What will you get out of this course?

• Gain a clear, definitive understanding of how credit portfolio management can add value

• Learn about the usefulness of credit portfolio information in the credit approval decision

• Gain hands-on experience generating credit portfolio information and using it in approving/disapproving credits and hedging credit

COURSE OVERVIEW AND OUTLINE

For this intensive and highly interactive course, all delegates are strongly recommended to attend the workshop with a laptop computer loaded with Microsoft Excel.

Foundations

• Evolution of credit risk management practices

• Events that drove the development of risk management practices

• From VaR to credit capital

• What are financial institutions doing

• Overview of current practices

Economic capital

• Why is economic capital important and how is it calculated

• What types of economic capital need to be considered

• How does economic capital relate to the regulatory capital under Basel II

Elements of a credit capital model

• Inputs/outputs

• Processing engines

• An update on the Basel II requirements

Valuing credit assets

• Traditional approaches to valuing loans and other credit assets

• Spread curves and valuation based upon observed spreads

Credit capital models: Introduction and analytical comparison

• KMV-Moody’s portfolio manager

• The RiskMetric group’s credit manager

• Credit Suisse CreditRisk+

• SunGard Adaptiv – credit risk

• SAS credit risk management

Credit capital models: Risk contributions

• Standard-deviation-based risk contribution measures

• Tail-based risk contribution measures

• Empirical comparison of credit capital models

Removing credit risk from the balance sheet

• Loan sales and trading

• Securitization

• Collateralized credit obligations

• Total return swaps

Credit VaR

• Calculating credit VaR

• Estimating credit VaR from historical data

• The impact of statistical distributions on VaR modeling