Implementing and Managing the Advanced IRB Approach

New York
30 September 2014 & 1 October 2014

Course highlights:

  • Modelling approaches for PD, EAD and LGD
  • Regulatory changes to the AIRB agenda
  • Stress testing and validation of the framework
  • Credit risk data management for modelling and validation
  • Tuition delivered by senior level bank credit risk capital experts

Learning outcomes:

  • Gain an understand of the 2014 - 2015 regulatory landscape in relation to the AIRB
  • Learn how to effectively model the probability of default (PD)
  • Understand the modelling challenges behind exposure at default (EAD)
  • Comprehend how to quantify and model loss given default (LGD)
  • Understand the interaction between PD, EAD and LGD
  • Learn how to stress test and validate your AIRB framework
  • Learn how to make best use of data for modelling and validation

Course Tutors:

  • Michel Araten, Managing Director, Credit Risk Capital Advisory & former Managing Director, JP Morgan Chase
  • Matthieu Royer, Managing Director, Head of ALM & Credit Portfolio Management, Credit Agricole CIB (Invited)
  • Phil Chamberlain, VP, ERM, Prudential and former Managing Director, BNY Mellon
  • Andy Spero, EVP, Head of Model Development and Governance, Regions Financial Corporation

 

 

 

 

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