Credit Risk Management Masterclass
Drivers, models and management of credit risk — from single-obligor assessment to portfolio control, built on post-crisis regulatory expectations for robust modelling.
Format
Classroom · Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
Since the crisis, legacy credit risk techniques have been under universal re-examination — regulators and the Basel Committee on Banking Supervision now demand more robust methods of modelling financial stress and the kind of credit market deterioration the crisis exposed. And the discipline is no longer banking’s alone: disclosure requirements and competition have pushed credit assessment onto non-financial institutions too. This masterclass covers the drivers of credit risk, the modelling tools used to measure it, and current best practice in managing it — at individual loan level and across the portfolio. The cohort designs credit risk models, works the data requirements behind them, integrates modelling with pricing, and builds simple working models in spreadsheets.
What you will do
Who attends
- Credit heads, corporate credit analysts and loan originators
- Credit risk specialists, model validation and credit risk audit
- Financial risk managers and financial industry regulators
- Balance-sheet management, controllership, internal audit and financial reporting
Programme agenda
Built for the decisions no textbook prepares you for
I.Drivers of credit risk
- Key concepts and methodologies behind credit risk
- Risk management functions and portfolio processes
- Post-crisis regulatory emphasis on robust stress modelling
II.Modelling and measurement
- Approaches to credit risk modelling, including PD, LGD and EAD
- Data requirements for credit risk models
- Regulatory requirements for modelling; Basel capital context
- Designing simple models in spreadsheets
III.Portfolio and mitigation
- Managing concentration risk
- Usage and risks of credit derivatives
- Collateral management techniques for derivatives exposures
- Integrating modelling with pricing
IV.Reporting and stress
- Characteristics of effective credit risk reports
- Requirements for reporting credit risk
- Corporate credit risk under stress — a systemic crisis case
Frequently asked
What does the credit risk management masterclass cover?
The programme covers the drivers of credit risk, the modelling tools used to measure it — including PD, LGD and EAD approaches and their data requirements — and current best practice in managing it at individual loan level and across the portfolio, from concentration risk and credit derivatives to the characteristics of effective credit risk reports.
Will participants build credit risk models during the course?
Yes. The cohort designs credit risk models across several approaches, works the data and regulatory requirements behind them, integrates modelling with pricing, and builds simple working models in spreadsheets — so participants leave able to construct and interrogate a model rather than only read its output.
Is this credit risk training relevant outside banking?
Yes. Disclosure requirements and competition have pushed credit assessment onto non-financial institutions too, and the programme suits credit heads, analysts, model validation, financial risk managers, regulators, balance-sheet management and internal audit. Delivery is in English or French, in-house editions are tailored to your institution, and dates and fees are confirmed on enquiry.
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Knowledge transfer, emphasised throughout
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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.