Valuation and Credit Risk Management

New York Institute of Finance

ITEM RISK0202

21 Oct 2024 - 23 Oct 2024

09:00 AM - 04:30 PM

$3,695.00

group

In-person (NY Campus)

update

3

language

English

school

Professional

21 Oct 2024 - 23 Oct 2024

09:00 AM - 04:30 PM

$3,695.00

videocam

Virtual (Full-time)

update

3

language

English

school

Professional


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17

Valuation and Credit Risk Management

A comprehensive survey of credit risk modeling, valuation and credit risk management techniques.

This course is a component of the Advanced Credit Risk Professional Certificate.

CPE Credits: 21

Prerequisite knowledge:

  • Intermediate MS Excel skills
  • Basic fixed income arithmetic
  • Elementary differential calculus
  • Basic probability and statistics

 

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Module 1: Introduction

  • What is credit risk?
  • A look at the data: defaults, recoveries, spreads and cycles
  • Conceptual approaches to credit risk modelling: actuarial (objective) models vs 'risk-neutral' or valuation models

Module 2: Single Issuer Credit Risk: Credit Transition Models

  • Credit transition models
  • Commercial implementations: Credit Metrics and the rating agencies

Module 3: Single Issuer Credit Risk: Structural Models

  • Debt and equity as options on the assets of the firm
  • Probability of default (PD) and loss given default (LGD)
  • Expected credit loss is the value of a put option
  • Credit spreads in structural models
  • Bond risk measures in structural models
  • Commercial implementations: Moody's Analytics (MKMV) and Credit Grades
  • Rational ('strategic') default in structural models: subprime mortgages and securitization

Module 1: Single Issuer Credit Risk: Reduced Form Models

  • Extracting (risk-neutral) default probabilities form bond prices
  • Hazard rate models of default
  • Credit spreads in reduced form models
  • Bond risk measures in reduced form models
  • A simple default time simulation for a stochastic hazard rate

Module 2: Single Issuer Credit Derivatives

  • Total return swaps
  • Asset swaps
  • Credit default swaps
  • Digital CDS
  • Simple trader arithmetic for quick thinking on the trading desk

Module 1: Portfolio Credit Risk: Correlated Defaults

  • Correlated firm value (structural models)
  • Correlated intensities (reduced form models)
  • Factor models
  • Copula functions

Module 2: Value at Risk for Credit Portfolios

  • The large homogeneous portfolio (LHP) approximation
  • Transition VaR model: Credit Risk +
  • Credit VaR by Monte Carlo: Copula Models and Factor Models

Module 3: Capital Allocation for Credit Risk

  • VaR based risk capital
  • Option theoretic approach to risk capital
  • Regulatory Capital
  • RAROC based capital budgeting
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