Credit Risk Management for Financial Instruments

BPP Professional Education
Course summary
6 hours
650 GBP excl. VAT
London, Online courses
Next available date: Online delivery option may be available - Please contact provider. - Online courses

Course description

Credit Risk Management for Financial Instruments

This one-day course aims to ensure recognition of where credit risk is generated in financial instruments; analyse the levels of credit risk generated given the counterparties to which an institution is exposed; and analyse sensitivity of portfolios to changes in market conditions. This area of the business remains critical and is dynamic with the developments of Basel III.

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Suitability - Who should attend?

This course will be of benefit to dealers, credit officers, auditors, consultants and support staff with a good basic knowledge of the financial markets to develop their understanding of credit risk management.

Outcome / Qualification etc.

  • The Concept of Credit Risk
    • Definitions of default, failure to pay and other events
    • Credit risk as default probability,
    • Recovery rates and exposures when analysing credit risk
    • Setting credit limits
    • Loss Given Default (LGD), Expected Loss (EL), Exposure at Default (EAD), and Default Correlations
  • Understanding ratings and the process

  • Case study: Ratings adjustments & outlooks
  • Credit Exposure and Portfolios of Trades

  • Portfolio credit risk
  • Effect of netting on credit risk
  • Effect of collateral on credit risk

  • Case study: Understanding CDS contracts
  • Techniques Used to Analyse Credit Risk

  • VaR techniques to analyse credit risk
  • Basic VaR Parametric and Non-Parametric techniques
  • Case study: VaR comparisons
  • Credit Valuation Adjustment (CVA)
    • Defining and calculating
    • Basel III approaches to CVA
    • DVA (more controversial than CVA)

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About provider

BPP Professional Education

BPP Professional Education -  Accountancy, Tax, Financial Services, Law & Insolvency Courses

BPP Professional Education is one of the specialist examination-based and professional development training arm of the BPP Group, Europe's biggest professional education and publishing provider with 2,000 staff members across 40 countries and over 30,000 students per year. BPP Professional Education...

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Contact info

BPP Professional Education

3 London Wall Buildings
EC2M 5PD London

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