Credit Portfolio Risk Management

Description

This course is designed to help participants understand the significant components and features of credit portfolio modelling and management (CPM). The aim is to elucidate how a broad range of risk modelling and risk assessment approaches can be brought together to enable risk-based pricing and assessment—ultimately enabling portfolio managers to choose investments based upon fundamentals as well as market dynamics. During the course, the instructor—a former senior executive, board member and CRO of a large, emerging markets, publicly-listed banking group—will also endeavor to offer his experience in developing CPM techniques to fit the emerging markets landscape. This would include discussions of how the CPM framework can be developed in lieu of a complete systems architecture, when credit reference and credit rating bureaus are not available and when data and past history on customers is sparse. Primary focus is also given to best-practice and to quantitative methods that are actually demonstrated to work in practice across many of the 40 countries and 4 continents in which instructor has direct experience.

What you will learn

• The elements necessary for internally developing and testing a ratings and scoring system that can be used with various exposure types—including privately listed, small to medium-sized enterprises (SMEs)
• How to integrate a quantitative, credit scoring platform with a qualitative ratings system in Basel II/III-compliance fashion
• How to develop the necessary CPM databases for estimating and validating scoring models and risk components, such as Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD)
• Portfolio-level measures of risk, including measures of concentration using Copulae, tail dependence and other advanced measures
• How to use Monte Carlo simulation and basic programming to develop and test scoring models and to model portfolio dependence, persistence, dynamics and stress-testing
• How to use this integrated system in both origination and portfolio management activities
• How to assess Expected Loss (EL) for provisioning and Unexpected Loss (UL) for capital allocation—both on a standalone and portfolio basis
• How to create a Risk-Adjusted-Performance-Measurement (RAPM, aka RAROC) system