Banques et Finance

Credit/Counterparty Risk - Measuring and Managing it


Credit risk is the oldest form of risk in financial markets. Although credit risk has existed since antiquity, we still have not perfected the way in which we manage it, as witnessed by the high-profile losses that are often reported in the press. This course provides participants with a good understanding of credit/counterparty risk and the methods for managing it effectively.

  • Introduction
    • Definitions
    • The importance of credit risk
    • The components of credit risk
    • Historical evolution and best practices
  • Basic components of credit risk modeling
    • Definitions and examples
  • Tools and methods for loans credit risk measurement and management
    • Actual credit exposure
      • Assessment of default probabilities
      • Internal ratings models and credit scoring loss given default
    • Expected loss
    • Unexpected loss
    • Overview of portfolio credit models
    • Loans credit risk pricing and capital allocation techniques
  • Overview of the Basel II / CRD regulation and its impact on credit risk measurement
& Examen
16 heures
Chambre de Commerce du Grand-Duché de Luxembourg
voir affichage sur place (Chambre de Commerce du Grand-Duché de Luxembourg)
7, rue Alcide de Gasperi
Luxembourg, L-2981
cliquez ici pour voir le plan
535,00 EUR