Comprehensive Economic Capital and Credit Risk Modelling Masterclass
Economic capital and credit risk modelling — PD, EAD and LGD estimation for wholesale and retail books, with a ready-to-use framework to apply on return.
Format
Classroom · Live Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
Basel capital requirements make one demand that never gets easier: robust estimation of the key risk parameters — probability of default, exposure at default and loss given default — for both wholesale and retail portfolios. The post-crisis wave of capital adequacy reform, tightened credit risk regulation under Basel II and III, and innovation in credit derivatives have put credit issues under permanent scrutiny; institutions must now assess, calculate and model the embedded credit risk of assets and of the counterparties they use to hedge and trade. Over two intensive days, hands-on team exercises work the tension between economic objectives and regulatory constraints, and the cohort leaves with a ready-to-use framework for their own firm.
What you will do
Who attends
- Credit portfolio and asset heads and managers
- Credit heads, managers and risk analysts
- Financial risk managers
- Audit heads and financial industry regulators
Programme agenda
Built for the decisions no textbook prepares you for
I.The modelling mandate
- Post-crisis capital adequacy reform and Basel II/III credit regulation
- Credit derivatives and the rising scrutiny of credit issues
- Modelling embedded credit risk in assets and counterparties
II.Credit risk models
- Approaches to credit risk modelling and their data requirements
- Designing credit risk models, including spreadsheet builds
- Regulatory requirements and integration with pricing
III.Economic capital
- Economic capital and the six key methodological elements
- Risk-horizon design considerations
- Measuring EC by stress-testing the economic balance sheet
- Calculation of economic capital
IV.Economics versus regulation
- Meeting economic objectives within regulatory constraints
- Hands-on team exercises on regulatory trade-offs
- A ready-to-use framework for your own firm
Frequently asked
Do these programmes cover the Basel III final reforms and the ICAAP/ILAAP cycle?
Yes. The BIZENIUS banking curriculum is built around the Basel III endgame, ICAAP, ILAAP, IRRBB, IFRS 9 provisioning, stress testing and BCBS 239. Participants leave able to quantify the output floor on their own portfolios, write capital and liquidity documents that withstand supervisory review, and defend the numbers to their board.
Are the programmes adapted to regional supervisors such as SAMA, CBUAE or BCEAO?
Casework is built around supervisory documents rather than textbook theory, and faculty include former practitioners who have sat on both sides of an examination. Programmes address the questions SAMA, CBUAE, BCEAO and other home regulators actually put to the desk, and an in-house edition can be tailored to a single jurisdiction.
How do I secure a seat on a banking programme?
Apply for a seat or request the brochure from the programme page. A senior practitioner — not a sales team — responds within one business day, and the brochure arrives with that reply. BIZENIUS runs on enquiry: there is no online checkout.
Can a programme run in-house for our bank?
Every BIZENIUS programme can be delivered in-house, tailored to your balance sheet, your regulator and your data, in English or French. Many institutions start with an open cohort, then commission a private edition for the wider team.
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In their words
Knowledge transfer, emphasised throughout
“We worked with BIZENIUS for our Fresh Graduates Programme — they are simply amazing. Knowledge transfer and practical learning were emphasised throughout.”
Kuwait Investment Authority
From the Mandate Record
Mandate № 04 · Africa
Capital frameworks built to run the bank, not to satisfy a filing
Most frameworks are written to satisfy the regulator. We build the kind that run the bank.
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The Capability Arc™
Fix it · Advisory
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An appetite framework wired into daily decisions.
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Risk Data, Controls & MI (BCBS 239)
Risk data and controls built to BCBS 239.
Learning is one point on the Capability Arc. Many institutions pair this programme with the advisory engagement — and automate what the framework demands.
Teams from these institutions train with BIZENIUS
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Take the brochure with you.
One request — the full agenda, the faculty and the next cohort dates, sent personally by the admissions team.