Credit risk is the oldest form of financial risk. 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 risk and the methods for managing it effectively.
Understand the fundamental concepts of credit risk
Evaluate and understand internal and external credit ratings
Understand value at risk (VaR) and its use in measuring credit risk
Explain the counterparty risk for derivatives, particularly over-the-counter derivatives
Describe different credit risk models according to the recommendations of the Basel Committee
Introduction and definitions
Internal credit rating systems
External credit ratings
Main features of debt instruments
Measuring credit risk for bonds
Credit default swaps
Counterparty credit risk
Key concepts of credit risk measurement
Probability of default
Exposure at default
Loss given default
Default and transition matrices
Expected Loss (EL) and Unexpected Loss (UL)
Credit portfolio models
This training course has been designed for a broad audience, i.e. for anyone wishing to acquire fundamental knowledge in Risk Management.
For this training course, an optional exam is available. In case of interest, candidates can choose a date from the list of proposed examination sessions. Registration for the exam must be made at least five days before the chosen exam date. The exam is subject to a registration fee.
The examination consists of true/false and multiple-choice questions. To pass the exam, a candidate must achieve a score of at least 50% of the total points on the exam.
This module is part of the Risk Management Certification. To obtain their certificate, candidates must complete 12 days of training in Risk Management and pass the exam for each course.
More details here: Professional Risk Management Certification
The training material will be handed out at the beginning of the course.
Chambre de Commerce Luxembourg7, rue Alcide de Gasperi
Chambre de Commerce Luxembourg