Developing and Implementing the Advanced Internal Ratings Based Approach

New York
23 & 24 September 2013

Course Highlights:

  • Senior credit risk modeller from a leading bank delivers a full day of modelling training
  • In depth discussion of credit model stress testing
  • Presentation on how AIRB contributes to economic capital
  • Discussion on the merits of Basel III
  • Introduction to portfolio management

Learning Objectives:

  • Modelling probability of default, loss given default and exposure at default
  • The correlations and dependencies between the Basel credit risk parameters
  • How to model dependencies between PD, LGD and EAD
  • How to stress test credit risk, and how to build stress tests into the risk framework
  • How using AIRB to calculate economic capital can help with Basel III compliance
  • The critical importance of robust data in modelling and calculating credit risk and capital
  • The methods used to asses risk within large credit portfolios

Course Tutors:

  • Michel Araten, Managing Director, JP Morgan
  • Terry Benzschawel, Managing Director, Citigroup
  • Matthieu Royer, Managing Director, Credit Agricole CIB

 

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