Advanced Credit Risk Management is a training program designed to be a “hands-on” practical training of advanced risk management concepts as applicable to financial institutions. The program consists of a combination of a conceptual part and a computer-based bank management Simulation (CredStrat) for Credit Risk. The conceptual part includes discussions, case studies and exercises on several theoretical and practical aspects of credit risk management at portfolio level in a universal bank. The simulation presents a typical bank with credit activities in multiple industries and different products.
CredStrat seminar focuses on the global bank-wide credit management of multiple credit portfolios, with the following specific objectives:
- To provide participants with an understanding of the information and systems required in order to maximise the EVA on a variance / covariance basis;
- To provide participants with a framework for the different risk quantification techniques;
- To expose participants to the latest thinking and strategic decision making mechanisms of credit risk management;
- To discuss and explain the regulations on solvency and credit risk management adopted by the Basle Committee;
- To provide bankers with a working knowledge of the fundamental variables and relationships that affect credit policy decisions;
- To understand the different credit risk management options (pricing, volumes, LGD variables, credit swap etc).
The conceptual part provides insight into the following key topics:
- Credit Variance optimisation: Single transaction management (CAPM, Expected and unexpected risks, PD – EAD – LGD, …);
- Credit Covariance optimisation or diversification policies: Multiple Transactions (portfolio theory, economic equity optimisation and advanced pricing);
- Credit Risk Quantification Methodologies (Related corporate finance theory and probability and statistic models of which Stochastic models, statistical simulations, credit metrics …);
- Economic Equity budgeting and allocation (RAROC, B2, treatment of diversification values…);
- Credit Derivatives.
In the simulation, participants are divided into Credit Management Committees. The individual management teams have to make decisions on all aspects of Credit Risk Management for their respective banks. The CredStrat computer-based simulation is used to allow participants to experience and measure both the immediate and the long term effects of their decisions. Participants have ample opportunity to test their own credit risk strategies, policy decisions, hands-on and practical decision skills within a highly competitive environment.
- All Credit department staff;
- Personnel with responsibilities in the field of credit risk assessment;
- Departments’ heads of business units (Retail, corporate, investment banking…);
- Departmental heads of support units (Finance, MIS & accounting, audit, IS/IT…);
- Members to Credit Committees in banks:
- Members to Management Board that are not specialised in risk management: