You are a financial institution and a big part of your daily business is to lend money. Unfortunately for you, lending money is definitely a risky activity.There is no 100% guarantee that you will get all your money back. For example you may expect losses in your portfolio because of the default of your counterpart. Or, in a less extreme situation, the credit quality of your counterpart may deteriorate according to some rating system, so that your loan becomes more and more risky. These are typical situations in which credit risk manifests itself. According to the Basel Agreements, credit risk is one of the three fundamental risks, together with market risk and operational risk, a bank (or another regulated financial institution) has to face when operating on the markets. As the 2008 financial crisis has shown us, a correct understanding of credit risk and the ability to cope with it are fundamental in the world of today. The aim of this course is to provide an introduction to credit risk modeling and hedging.
At the end of the course, the students will be able to understand and correctly use the basic tools of credit risk management, both from a theoretical and, most of all, a practical point of view. This will be a quite unconventional course. For every methodology, we will analyze its points of strengths, but we will also stress its points of weakness. We will try to do this in a rigorous way, but also with fun.
What You Get
»Knowledge: in-depth understanding of credit risk management from the foundations to the most advanced statistical and optimization techniques, in 4 intensive days of theory and live examples and exercises: • Basel Accord: Basel Accord, Credit Risk, Market Risk, Interactions between Credit and Market Risk • Statistical Models: VaR (Value at Risk), Stress testing, Scenario Analysis, Monte Carlo • Risk analysis: Counterparty risk, Diversification, credit exposure limits, definition of related groups of borrowers • Credit risk management: Credit processing/Appraisal, approval/sanction, documentation, administration and disbursement • Credit monitoring : Monitoring and control of individual credit and overall portfolio • Credit recovery: Managing problem credit/Recovery
»Code: full set of case studies;
»Certifications • Certificate of Attendance - Advanced Credit Risk and Portfolio Management • Certificate in Advanced Credit Risk and Portfolio Management (upon completion of an optional examination)