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Basel II Credit Risk Management

By: TSI Limited

Lagos State, Nigeria

03 - 05 Sep, 2014  3 days

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Course Overview
This course covers the Basel II credit risk management techniques : standardized approach and advanced approach (internal ratings).
This training requires prior knowledge of basic statistics and financial mathematics notions. 

Course Objective
Participants shall be exposed to hands-on- deck treatment of  various approaches to Basel II Credit Risk Management Techniques

Course Outline
  • Presentation of the Basel II general framework and capital requirements
  • - Historical context : the Cooke ratio and its limitations
  • - Quantitative requirements : McDonough ratio, Basel II first pillar
  • - Qualitative requirements : second pillar and third pillar
  • - Implementation of the Basel II accord in the European Union
  • - Equity capital components : Tier 1, Tier 2, Tier 3
  • Implementation of the credit risk assessment standardized approach
  • - General introduction to the credit risk assessment standardized approach
  • - Resorting to external ratings and pondering counterparts
  • - Calibration of the Basel paramters according to the selected options
  •  Internal ratings models (advanced approach)
  • - Determination of the model parameters : Probability of Default (PD) and Loss Given Default (LGD)
  • - Determination of the Exposure At Default (EAD) : asset/liability outflow laws
  • - Management of a credit portfolio : correlations and transition matrix
  • Application : review of Moody's KMV and J.P. Morgan's Credit Metrics internal ratings
  •  Implementing the advanced approach models : strategy and organization
  • - Risk rating system governance : minimum requirements, risk quantification, validation of internal estimates
  • - Quality controls and financial communication requirements
  • Application : implementation of the "advanced approach" models (strategy, organization and information systems)
  •  Management of credit guarantees and derivatives
  • - Management of the guarantees using standardized approach and advanced approach
  • - Credit derivatives : accounting and prudential aspects
  • - Credit risk enhancement techniques
  •  Prudential management of securitization
  • - Operational requirements on classic securitizations and synthetic securitizations
  • - Management of securitization exposure : standardized approach
  • - Impact of the financial crisis on prudential requirements
Sizzler House, 33 International Airport Road, Ajao Estate, Lagos, Nigeria Sep 03 - 05 Sep, 2014
(Convert Currency)

+1-646-202-8832, +2348033467639

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