For banks and financial institutions a sea of changes has occurred in the past few years as a response to the credit crisis. A new capital adequacy framework, strengthened and specific credit risk regulations under Basel II / III, and recent innovations in the credit derivative arena are all highlighting the increasing scrutiny on credit issues. More than ever before, financial institutions and large corporates will therefore have to be able to assess, calculate and model the embedded credit risk of assets as well as the risk generated by the use of counterparties for hedging or trading purposes.
The need to determine economical capital for risk-return calculations according to Basel capital requirements has highlighted the importance of robust methodology to estimate key risk parameters (probability of default, exposure at default and loss given default) for both wholesale and retail portfolios. In this course, the implications of meeting economic objectives within regulatory constraints are explored in hands-on team exercises that will allow attendees to manage regulatory objectives whilst retaining their competitive edge. By the end of this intensive 2-day course bankers will be equipped with a ready-to-use framework that they can use and apply in their own firms.