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Basel II Credit Risk Management

By: TSI Limited

Lagos State, Nigeria

03 - 05 Aug, 2015  3 days

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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 parameters 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 Aug 03 - 05 Aug, 2015
NGN260,000.00
(Convert Currency)

+1-646-202-8832, +2348033467639, +2348023019508,

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