Fundamentals of Credit Risk Identification & Management

In this two-day seminar, participants are introduced to the origins, nature and types of credit risk structures that are typically encountered in financial markets. Beginning with the identification and definition of credit risk, the seminar will survey the methods that have been used to quantify and measure credit risks. In addition, the seminar participants will explore the fundamentals of risk management, in general, and of credit risk in particular. The role of the Basel Accord in credit risk analysis and management will be examined. Throughout, emphasis will be placed on a broad understanding of this area of financial risk management.

16-Oct-2008 -- 17-Oct-2008New YorkUSD$2375
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Joseph Onochie; ] Thu Fri Level: Basic
CPE Credits: 14.0

08-Dec-2008 -- 09-Dec-2008New YorkUSD$2375
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Joseph Onochie; ] Mon Tue Level: Basic
CPE Credits: 14.0

Anyone who wishes to transition into credit risk management
No advance preparation required.
Students will be able to:
  • Understand the framework of risk management
  • Understand the distinguishing characteristics of credit risk
  • Participate in discussions and exercises to enhance important concepts
  • Appreciate the scope and complexity of credit risk
Fundamentals of the Securities Industry or equivalent knowledge
"The exercises, the fact that instructor didn't read from powerpoint, he encouraged participation."
"The instructor was able to reduce complex ideas into simple examples"
"The class was relevant to the stock market"
"The technical content, real life examples, hands on exercises"
"Good overview of concepts used at work"
  • Introduction to Credit Risk Analysis
  • Demystifying Cash Flow
    • Day 1

    The Risk Management Process

      Sources of, and Definitions of, Credit Risk

      • Loans
      • Derivatives
      • Lines of Credit

      How is Credit Risk Measured?

      • Building Blocks
      • Different Approaches
      • Global Measure of Risk

      Fundamental Concepts

      • Economic Capital
      • Expected Loss
      • Unexpected Loss
      • Probability of Default
      • Exposure at Default
      • Loss Given Default

      Survey of Models of Credit Risk

      • Empirical Models
      • Structural Models
      • Reduced-Form Models

    Day 2

    How is Credit Risk Managed?

    • Traditional Approaches:
    • -- Netting
    • -- Limits Systems
    • -- Credit Screening
    • -- Risk Quality and Ratings
    • -- Credit Enhancements
    • Credit Derivatives:
    • -- Total Return Swaps
    • -- Credit Swaps
    • -- Credit-Linked Security
    • -- Credit Spread Options

    Economic versus Regulatory Capital

      Credit Risk for Market Instruments

        Credit Risk for Derivatives

          Role of Basel Committee

          • Evolution of the Basel Accords: 1988, 1996, 2001

    Clients who register for this course will receive a complimentary 6 month subscription to the Financial Times and FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. Subscriptions will start within 6-8 weeks of the application process and are limited to one per client. For questions about your subscriptions call 800-628-8088 or email uscirculation@ft.com. US and Canada enrollees only.

    Lunch included for all students taking day classes.