Credit Risk Modelling

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Credit Risk Modelling Highlighting Best Practice And Current Developments

Updated for 2013 17 – 20 November 2013 Jumeirah Emirates Towers Hotel, Dubai, UAE

Top 5 Learning Objectives 1. Explore latest qualitative and quantitative credit measurement and modelling techniques related to individual credit facilities, corporate credits, distressed corporate debt, corporate lending, sovereign lending, distressed sovereign debt, sovereign and credit rating process, securitised credit exposures and portfolios of credits 2. Learn current credit risk modelling best practice for the assessment, measuring and modelling of credit risk factors including potential credit exposures, credit loss distributions, default frequencies, times to default, recovery rates, credit migrations, credit spreads and dependent default frequencies 3. Understand best practice and applicability of qualitative financial scoring models, regression-based financial distress and failure prediction models, structural and reduced-form credit risk models 4. Implement qualitative and quantitative credit modelling techniques, including Credit-Value-at-Risk (CVaR), using practical Excel-based Monte Carlo simulation exercises 5. Acquire knowledge of best practice for credit loss protection techniques and various procedures for hedging different aspects of credit risk and the evolution of a global regulatory Basel capital standard, i.e. Basel I, II, and III

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Please bring your laptop Loaded with Excel


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