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DTSTART;TZID=Europe/Helsinki:20260904T080000
DTEND;TZID=Europe/Helsinki:20260915T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065374-1788508800-1789491600@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *Address		\n			Contact Name Address\n			\n		\n		Address Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2026-09-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20260904T080000
DTEND;TZID=Europe/Helsinki:20260915T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10064843-1788508800-1789491600@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.		\n			Course Venue Email\n			\n		\n		Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2026-09-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/jpeg:https://basatraining.com/wp-content/uploads/2025/01/stephen-phillips-hostreviews-co-uk-em37kS8WJJQ-unsplash.jpg
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20261004T080000
DTEND;TZID=Europe/Helsinki:20261015T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065375-1791100800-1792083600@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *		\n			Course Address from\n			\n		\n		Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2026-10-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20261004T080000
DTEND;TZID=Europe/Helsinki:20261015T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10064844-1791100800-1792083600@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional Information		\n			2 Address Details\n			\n		\n		Organization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2026-10-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/jpeg:https://basatraining.com/wp-content/uploads/2025/01/stephen-phillips-hostreviews-co-uk-em37kS8WJJQ-unsplash.jpg
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20261104T080000
DTEND;TZID=Europe/Helsinki:20261115T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065376-1793779200-1794762000@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *		\n			Course Type Number\n			\n		\n		Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2026-11-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20261104T080000
DTEND;TZID=Europe/Helsinki:20261115T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10030733-1793779200-1794762000@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *Address		\n			from 3 Contact\n			\n		\n		Address Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2026-11-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/jpeg:https://basatraining.com/wp-content/uploads/2025/01/stephen-phillips-hostreviews-co-uk-em37kS8WJJQ-unsplash.jpg
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20261204T080000
DTEND;TZID=Europe/Helsinki:20261215T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065377-1796371200-1797354000@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *Address		\n			Organization 2 Course\n			\n		\n		Address Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2026-12-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20261204T080000
DTEND;TZID=Europe/Helsinki:20261215T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10064845-1796371200-1797354000@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLast		\n			Venue Additional Number\n			\n		\n		Number of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2026-12-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/jpeg:https://basatraining.com/wp-content/uploads/2025/01/stephen-phillips-hostreviews-co-uk-em37kS8WJJQ-unsplash.jpg
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270104T080000
DTEND;TZID=Europe/Helsinki:20270115T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065258-1799049600-1800032400@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubai		\n			Email from Course\n			\n		\n		Additional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2027-01-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270104T080000
DTEND;TZID=Europe/Helsinki:20270115T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10064846-1799049600-1800032400@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLast		\n			Number Applicant Course\n			\n		\n		Number of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2027-01-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/jpeg:https://basatraining.com/wp-content/uploads/2025/01/stephen-phillips-hostreviews-co-uk-em37kS8WJJQ-unsplash.jpg
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270204T080000
DTEND;TZID=Europe/Helsinki:20270215T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065378-1801728000-1802710800@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm Email		\n			Line Type Participants\n			\n		\n		Phone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2027-02-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270204T080000
DTEND;TZID=Europe/Helsinki:20270215T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10064847-1801728000-1802710800@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *		\n			Type Additional details\n			\n		\n		Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2027-02-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/jpeg:https://basatraining.com/wp-content/uploads/2025/01/stephen-phillips-hostreviews-co-uk-em37kS8WJJQ-unsplash.jpg
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270304T080000
DTEND;TZID=Europe/Helsinki:20270315T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065379-1804147200-1805130000@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)		\n			Additional of Course\n			\n		\n		Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2027-03-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270304T080000
DTEND;TZID=Europe/Helsinki:20270315T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10064848-1804147200-1805130000@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLast		\n			Course Information of\n			\n		\n		Email *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2027-03-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/jpeg:https://basatraining.com/wp-content/uploads/2025/01/stephen-phillips-hostreviews-co-uk-em37kS8WJJQ-unsplash.jpg
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270404T080000
DTEND;TZID=Europe/Helsinki:20270415T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065380-1806825600-1807808400@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLast		\n			Details Address of\n			\n		\n		Address Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2027-04-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270404T080000
DTEND;TZID=Europe/Helsinki:20270415T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10064849-1806825600-1807808400@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm Email		\n			Name Information of\n			\n		\n		Phone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2027-04-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/jpeg:https://basatraining.com/wp-content/uploads/2025/01/stephen-phillips-hostreviews-co-uk-em37kS8WJJQ-unsplash.jpg
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270504T080000
DTEND;TZID=Europe/Helsinki:20270515T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065381-1809417600-1810400400@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional Information		\n			Organization Course Course\n			\n		\n		Organization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2027-05-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270504T080000
DTEND;TZID=Europe/Helsinki:20270515T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10064850-1809417600-1810400400@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm Email		\n			Phone Email Organization\n			\n		\n		Phone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2027-05-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/jpeg:https://basatraining.com/wp-content/uploads/2025/01/stephen-phillips-hostreviews-co-uk-em37kS8WJJQ-unsplash.jpg
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270604T080000
DTEND;TZID=Europe/Helsinki:20270615T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065382-1812096000-1813078800@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLast		\n			3 Venue Applicant\n			\n		\n		Email *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2027-06-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270604T080000
DTEND;TZID=Europe/Helsinki:20270615T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10064851-1812096000-1813078800@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.		\n			Course Number Email\n			\n		\n		Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2027-06-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/jpeg:https://basatraining.com/wp-content/uploads/2025/01/stephen-phillips-hostreviews-co-uk-em37kS8WJJQ-unsplash.jpg
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270704T080000
DTEND;TZID=Europe/Helsinki:20270715T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065383-1814688000-1815670800@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *		\n			Line Information Name\n			\n		\n		Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2027-07-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270704T080000
DTEND;TZID=Europe/Helsinki:20270715T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10064852-1814688000-1815670800@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubai		\n			of organization Course\n			\n		\n		Additional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2027-07-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/jpeg:https://basatraining.com/wp-content/uploads/2025/01/stephen-phillips-hostreviews-co-uk-em37kS8WJJQ-unsplash.jpg
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270804T080000
DTEND;TZID=Europe/Helsinki:20270815T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065384-1817366400-1818349200@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.		\n			Type Organization Details\n			\n		\n		Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2027-08-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270804T080000
DTEND;TZID=Europe/Helsinki:20270815T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10030741-1817366400-1818349200@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *		\n			from Additional Applicant\n			\n		\n		Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2027-08-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/jpeg:https://basatraining.com/wp-content/uploads/2025/01/stephen-phillips-hostreviews-co-uk-em37kS8WJJQ-unsplash.jpg
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270904T080000
DTEND;TZID=Europe/Helsinki:20270915T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065385-1820044800-1821027600@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLast		\n			Details Details Type\n			\n		\n		Number of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2027-09-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20270904T080000
DTEND;TZID=Europe/Helsinki:20270915T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10064853-1820044800-1821027600@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional Information		\n			Participants of Additional\n			\n		\n		Organization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2027-09-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/jpeg:https://basatraining.com/wp-content/uploads/2025/01/stephen-phillips-hostreviews-co-uk-em37kS8WJJQ-unsplash.jpg
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20271004T080000
DTEND;TZID=Europe/Helsinki:20271015T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065267-1822636800-1823619600@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional Information		\n			Number Address details\n			\n		\n		Organization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2027-10-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20271004T080000
DTEND;TZID=Europe/Helsinki:20271015T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10064854-1822636800-1823619600@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubai		\n			Address Number Participants\n			\n		\n		Additional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2027-10-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
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ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20271104T080000
DTEND;TZID=Europe/Helsinki:20271115T170000
DTSTAMP:20260204T121823Z
CREATED:20250115T220000Z
LAST-MODIFIED:20260204T121823Z
UID:10065386-1825315200-1826298000@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and TransformationGovernment and Public SectorHuman Resources and TrainingInsurance and Financial ServicesInterpersonal Skills and Self DevelopmentIT Management and Cyber SecurityLeadership and ManagementManagementPlanning and Strategy ManagementProject ManagementPublic RelationsQuality and ProductivityRisk and ComplianceSafety and EnvironmentSecurity ManagementSelect the correct course category (typically found below in the course details)Course Name *		\n			Venue Number Address\n			\n		\n		Course VenuePretoria\, South AfricaDurban\, South AfricaCape Town\, South AfricaKigali\, RwandaHarare\, ZimbabweDubaiAdditional InformationOrganization Name *AddressAddress Line 2 *FirstLastAddress Line 3 *FirstLastOrganization Contact DetailsFirstLastNumber of Participants from organization\n\n\n\n	Participants: 1\nUse the slider to chose whether you want to register only 1 or 10 participantsAdditional Participants detailsSubmit
URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2/2027-11-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
ATTACH;FMTTYPE=image/png:https://basatraining.com/wp-content/uploads/2025/01/credit-risk-1.png
ORGANIZER;CN="BASA":MAILTO:info@basatraining.com
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20271104T080000
DTEND;TZID=Europe/Helsinki:20271115T170000
DTSTAMP:20260204T104134Z
CREATED:20250820T083112Z
LAST-MODIFIED:20260204T104134Z
UID:10064855-1825315200-1826298000@basatraining.com
SUMMARY:Credit Risk Assessment\, Modelling and Management
DESCRIPTION:Credit Risk Assessment\, Modelling and Management\nWhy Attend\nThis Credit Risk Assessment course gives participants a comprehensive overview of the key concepts and methodologies in understanding the drivers of credit risk\, modelling tools used for the measurement of credit risk\, and current best practice in credit risk management techniques. \nThe course focuses on the actual practice of credit risk assessment within financial institutions as well as on the quantitative and methodological tools and procedures that are at the cutting edge of measuring\, mitigating and managing credit risk. \nTreatment of credit risk has shifted greatly since the global financial crisis of 2008. Prior to then\, it was considered almost inconceivable that major investment banks and global insurers could default and create a systemic credit and liquidity crisis.  Since the crisis there has been a universal re-thinking of most aspects of legacy risk management techniques.  Financial regulators and the Basel Committee on Banking Supervision have placed significant emphasis on the need for innovative and more robust methods of modelling financial stress and the kinds of credit market deterioration that was witnessed during the crisis. \n\nCourse Methodology\nThis course utilizes Excel models for credit analysis\, individual calculation exercises\, team activities and plenary discussion. \nCourse Objectives \n\n\nBy the end of the course\, participants will be able to: \n\nIdentify the key elements of credit risk\nAnalyze the micro-financial drivers of credit risk and macro-economic factors which impact system-wide credit risk\nExplain modelling techniques for assessing credit risk\nDemonstrate proficiency with different methods and tools for credit scoring\nDemonstrate the usage and risks of credit derivatives\nApply collateral management techniques to credit derivatives exposures\n\nTarget Audience\n\n\nThis course is beneficial for banking personnel in all areas of credit risk.  Others who will benefit include\, but are not limited to\, asset allocators\, portfolio strategists\, sovereign wealth fund managers and research staff\, risk managers/controllers\, private investors and senior back office personnel. \nThe course is also valuable for those interested in credit modelling and those engaged in compliance with all applicable regulations regarding credit risk in financial institutions. \nTarget Competencies\n\n\n\nCredit risk modelling\nAssessment of credit requests\nAssessment of funding loans and credit facilities\nCompliance with all regulations regarding credit\nManagement of a credit committee and risk committee\n\n  \nOutline\n\n\nFundamentals of Credit Risk\n\n\n\nThe key macro and micro financial concepts behind\, and drivers of\, credit risk\nMeasurement of credit risk and adverse outcomes\nAssessing credit risk and default probability of loan portfolios\nKey determinants for managing credit risk:\n\nProbability of default (PD)\nExposure at default (EAD)\nLoss given default (LGD)\n\n\nCredit migration and transition matrices\nFundamental analysis of financial statements\, key ratios\, qualitative characteristics of the balance sheet\nOff balance sheet and contingent credit risk\nMarket-based approaches\, bond spreads\, swap rates\nCounter party credit risk\nCredit scoring\, credit risk modelling\, risk profiling and assessing creditworthiness\n\n\n\nCredit Ratings Methodologies and Application\n\n\n\nReview of ratings classifications systems of the major Credit Ratings Agencies (CRAs)\nThe principal credit ratings agencies – Moody’s\, Standard & Poor’s\, Fitch\nOverview of the ratings methodologies – issuer analysis\, historical data\, business cycles\nCommercial paper ratings\nSovereign ratings – approach to developed markets and emerging markets\nConflicts of interest – representing credit issuers but designed to protect credit purchasers\nWhy did the CRAs perform so poorly in the rating of collateralized debt obligations (CDOs) and other derivatives?\nRatings migration matrices – use by banks in determining credit risk value at risk (VaR)\nImpact of upgrades/downgrades on market perceptions of creditworthiness\nDodd-Frank Act de-emphasis on reliance by financial firms on external ratings\n\n\n\nCapital Charges and Accounting Principles\n\n\n\nReview of the distinction between the banking book and the trading book\nBasel III attempts to address regulatory arbitrage\nTreatment of securitizations and off-balance sheet exposures\nAvailable for Sale issues – impacts on liquidity\, high-quality liquid assets (HQLA)\, rigidity of balance sheets\nDetailed examination of IFRS 9 – implementation timetable\, further revisions?\nRecognition of expected losses and early warning of asset impairment\nAmortized cost – held to maturity requirements\nFair value though other comprehensive income (FVOCI)\nFair value through profit or loss (FVPL)\n\n\n\nCounter-Party Credit Risk\n\n\n\nExamine the various facets of credit risk which hinge on losses sustained from failure of an obligor to honour contractual obligations\nDistinguish the separate components of credit risk:\n\nProbability of default by obligor – how reliably can it be estimated?\nProbability of downgrade or widening credit spreads of counter party\nRecovery rate – what percentage of obligation can be recovered after default?\nCredit exposure – estimating loss magnitude in relation to capital buffers\n\n\nDetermination of a credit default event\, ISDA Master Agreement\, Credit Support Annex\nUnderstand the concepts of credit rating and scoring and critical examination of how useful such techniques are for determining actual risk of default?\nNew components in the Basel III framework for addressing issues related to default and deterioration of the credit quality of counter parties\nCredit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)\nExplanation of key concepts of Expected Exposure (EE)\, Expected Positive Exposure (EPE)\, Wrong Way Risk (WWR)\n\n\n\nMeasuring Credit Risk and Techniques for Credit Risk Modelling\n\n\n\nCredit Metrics\, credit scoring and credit rating systems\nQuantitative modelling of credit risk using stochastic processes\nEstimating probability of default – KMV Model\, distance to default techniques\nExplain how debt and equity can be understood as options on the firm\nTechniques for modeling default risk of CDO’s\, CMO’s and other structured vehicles\nLessons from SIVs and other off-balance sheet financing on credit risk management\nAdapting VaR measures to include a metric for default value at risk\nCredit Migration matrices – scaling over different time frames\nIntegrating Credit VaR (CVaR) and Market VaR\nPortfolio CVaR – joint probabilities of default – copula techniques\nTechniques for estimating LGD and recovery rates\n\n\n\nSovereign Credit Risk\n\n\n\nPrincipal factors used to determine creditworthiness of a sovereign\nIssues relating to sovereign bonds under different jurisdictional frameworks\nDeterioration in public balance sheets –high debt/GDP ratios\nLinkage between sovereign risk and risks to local banking system\nMacro-economic drivers of ratings – global imbalances\, surplus/deficit nations\nRole of sovereign Credit Default Swap (CDS) market – is it still vital or declining?\nSovereign debt re-structuring- bail outs/bail-ins\nProtection to different stakeholders – seniority of claims\, preferred status of central banks\nCollective Action Clauses (CACs)\nSovereign domino thesis and financial contagion\n\n\n\n\n\n\n\nStress Testing Methods\, Benefits and Limitations\n\n\n\nOverview of sensitivity of credit to market risk\, interest rate risk\, systemic risk\nExplanation of the techniques for conducting stress tests\nBack testing using historical returns\nStress testing using hypothetical returns\nExplanation of Principal Components Analysis\nSizes of historical samples – are they sufficiently large to include wide variety of conditions?\nBenefits of more loosely coupled systems as less fragile.\n\n\n\nInterpreting Credit Related Market Data\n\n\n\nMonitoring government bond yields and changes to the term structure of interest rates for US dollar\, euro\, sterling\, and yen\nTheories of the yield curve\n\nLiquidity premium\nSafe-haven premium\n\n\nCredit spreads for investment grade and high yield instruments relative to government issue and inter-bank rates\n\nOver Treasuries\, over bunds\, over gilts\nSOFR\, SONIA\, ESTER\, overnight indexed swap (OIS)\, Euro Overnight Index Average (Eonia)\n\n\nOption Adjusted Spreads (OAS)\nCredit Default Swap (CDS) rates – estimation of probabilities of default\nMeasuring market sentiment – investor confidence indices\, contrarian indicators\n\n\n\nCredit Assessment and Financial Ratio Analysis\n\n\n\nFinancial Statement Analysis\nCredit Assessment based on detailed analysis of corporate balance sheets\, income statements and cash flow statements\nImpact of Corporate actions – capitalization or consolidation\, rights issues\nFinancial ratios – Profitability\, Liquidity\, Asset turnover\, Gearing\nLiquidity ratios\, pay-out ratios\, financial stability ratios\, operational gearing\nDividend policy\, return on equity (ROE)\, Return on Capital Employed (ROCE)\nEarnings per share\, P/E Ratios (historic and prospective)\nDividend yield\, Dividend/interest cover\, Price/book\nRatio based Methods for Determining Credit Stress and Defaults\nAltman’s Z score model\, KMV Model\, Moody’s Analytics\,\nOhlson financial distress model\, Risk Metrics\, McKinsey Credit Portfolio View\n\n\n\nManaging Credit Risk and Regulatory Capital Charges for Credit Risk\n\n\n\nMechanics of credit derivatives and how they can be used for hedging portfolio credit risk\nSingle name credit derivatives (unfunded and funded structures)\nBasket and Tranche CDS\, index based CDS\nImpact on regulatory capital from use of\, and exposure to\, credit derivatives\nISDA documentation and legal framework for interest rate (IR) swaps\, Credit Support Annex (CSA)\nRegulatory capital under Basel III\nNew approaches to capital charges for credit risk under Basel III\nStress testing – how to conduct stress testing with Monte Carlo Simulations\nCalculating capital charges for credit exposures\n\nStandardized approach\nFoundation internal ratings based approach\nAdvanced internal ratings based approach\n\n\n\n\n\nCredit Value adjustment (CVA) and collateral Management\n\n\n\nDefinition Credit value adjustment (CVA)\nDefining credit exposure in relation to market risk impact on derivatives\nExpected positive exposure and worst-case exposure\nNature of collateralization – ISDA treatment\nBenefits of effective collateral management\nImpact of netting and collateral on CVA\nEligible hedging instruments – no nth to default structures\nBilateral counter party risk and collateral\nOver-collateralized positions and risk of counter party default\n\n\n\nEvent Coordinated by BASA Training \nYou can also visit our Online Courses Website Excel Elearning \nYou can also get an affordable ebook on ebooksnest.com \n\n\n\n\n\nRegistration Form\nPlease enable JavaScript in your browser to complete this form.Please enable JavaScript in your browser to complete this form.Applicant Details *FirstLastEmail *EmailConfirm EmailPhone Number *Course Type *--- Select Choice ---CertificationsAccounting and FinanceAdministrationAuditing and GovernanceBankingBusiness Continuity and Crisis ManagementCommunication and Writing SkillsConferenceCustomer ServiceData Analytics and Artificial IntelligenceData Management and Business IntelligenceDigital Innovation and 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URL:https://basatraining.com/course/credit-risk-assessment-modelling-and-management-duplicate-2-2-2/2027-11-04/
LOCATION:Pretoria\, 484 Hilda St\, Hatfield\, Pretoria\, Gauteng\, 0083\, South Africa
CATEGORIES:Banking,Banking|Insurance and Financial Services,Insurance and Financial Services
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