Course Outline
Credit and Liquidity Risk
- Understand the significance of credit risk as a major driver of potential bank instability
- Be able to fit a distribution to these credit losses and estimate important parameters from these distributions such as expected loss, unexpected loss, correlation, etc.
- Be able to extract default correlation from asset correlation and know the difference between these two important parameters into credit risk models
- Understand the significance of correlation (default and asset) in the credit loss estimation process and how ignoring this parameter might have affected the outcome of the credit crunch
- Appreciate the reasons behind the regulatory capital calculations
Market and Operational Risk
- Appreciate the corrections applied to Basel II by the recent introduction of the Basel III accord.
- Know how to estimate the requisite parameters for the procyclical (Basel II) capital buffer and be able to model the long run mean for the countercyclical metric.
- Appreciate the origins of credit valuation adjustments (CVA), know why the calculation is fiendishly difficult and the regulatory (Basel III) rules pertaining to CVA.
- Understand the significance of expected shortfall in the market loss estimation process.
- Know some mathematical procedures to estimate expected shortfall (non-trivial).
- Know the background and details of all aspects of the new trading book regime proposed by the recent introduction of the Basel IV accord.
- Understand the proposed changes to the standardised approach to credit risk and
- Know – and be able to apply – the proposed changes to the simpler operational risk approaches.
Who Should Attend?
- Risk managers – market/credit/operational
- Regulatory and compliance staff o Internal auditors
- Chief Risk Officers
- Chief Financial Officers
- Financial Controllers
Key Features
- Course can be viewed Anytime, Anywhere and on Any Device.
- Play, Pause or Continue from where you left off.
- Course presented by a leading expert on the subject with complex Excel Spreadsheets for calculating risk profiles and compliance.
- Each module contains a quiz with a final assessment on completion of all modules.
- Certificate of completion issued.
- Extra exercises to understand the concepts are also available.
- User Interface view can be adjusted to suite user preference.
