Credit Risk Modeling - Online

This course discusses the various approaches to credit risk modeling, including: CreditMetrics, the first available portfolio model for evaluating credit risk developed by JP Morgan; credit risk management framework introduced by Credit Suisse First Boston (CSFB); credit risk model developed by KMV Corporation (after Moody's acquisition, it is called M-KMV); credit risk model namely 'CreditPortfolioView' developed by McKinsey.

This is an online self study course that can be globally accessed 24/7 from any internet enabled computer.

Available TodayOnlineUSD$150
Instructional Method:
Self-Study
Level: Basic
CPE Credits: 12

Individuals who require familiarity with credit basics and the asociated language, but who do not necessarily work in a credit or finance function.
Familiarity with corporate balance sheets and income statements
Conceptual Approaches to Credit Risk Modeling
  • The applications and hurdles in credit risk models
  • The distribution of credit losses
  • Conditional Vs. Unconditional models
  • The approaches to credit risk aggregation
  • The correlation between credit events

JP Morgan CreditMetrics

  • Introduction to CreditMetrics framework
  • Process followed to evaluate credit risk
  • Three powerful applications of CreditMetrics

CSFB's CreditRisk+

  • CreditRisk+ model and its components
  • Stages in CreditRisk+ modeling process
  • Applications of CreditRisk+

KMV PortfolioManager

  • KMV model
  • Distance-to-default
  • Expected default frequency
  • Advantages and weakness of KMV

Credit PortfolioView

  • Methodology followed by CreditPortfolioView
  • Its default prediction model
  • Conditional transition matrix

Credit Portfolio Management

  • Portfolio theories
  • Traditional Vs. modern credit management approach
  • Credit risk management tools
  • Comparison of credit risk model
  • Credit derivatives and asset securitization

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