Credit Portfolio Management

Fitch Learning
Course summary
2 days
2,295 GBP excl. VAT
Professional Training
Next available date: 14/10/2021 - Online courses
Course Dates
Online courses
2,295 GBP

Online courses
2,295 GBP

Course description

Credit Portfolio Management

Since 2003, Fitch Learning’s industry experts have been delivering world-renowned virtual training programs to learners across the globe. Benefits include:

  • World-class video conferencing technology
  • Fully interactive, engage and network with peers using break out rooms, quizzes and polls
  • On-hand technical support team throughout
  • Attend from anywhere, across four time zones
  • Save time and costs on travel

Suitability - Who should attend?

Target Audience

Bankers, regulators and analysts who wish to gain insight into the credit portfolio management process, without being modelers themselves. The course is targeted at an intermediate level.

Outcome / Qualification etc.

Credits: 16 CPD pts.

Key Learning Outcomes:

  • Identify the key elements of credit risk: probability of default, loss given default, and exposure at default
  • Evaluate the inter-action of credit risk within a portfolio exposures (especially default correlation), and how these can be measured and quantified
  • Review how the main drivers of credit risk are modeled and sensitized
  • Understand how credit portfolio modeling is used within firm-wide risk management and regulatory and economic capital process

Training Course Content

Credit Risk Overview

The goal of this section is to teach the fundamental concepts of credit risk

  • Traditional and current definitions of credit risk: default and credit migration
  • Credit risk for different market participants e.g. bank lender, fixed income investors, CDS counterparty, credit insurer
  • Categories of credit risk: lending, issuer, contingent, pre-settlement, settlement, country / transfer, other
  • Differing approaches under Basel Framework, US GAAP, IFRS, internal models and market practices (e.g. ISDA agreements)

Portfolio Risk Management

The goal of this section is to review the various techniques used to manage and measure credit risk within a portfolio and to understand the key drivers of credit risk.

Risk Management Strategy

  • Portfolio management objectives: balancing risk appetite and diversification to maximise risk adjusted returns
  • Diversification, granularity and correlation concepts
  • Contagion risk – lessons learned in mature and emerging markets
  • Techniques to spread risk: syndication, sub-participation, whole loan sales, credit derivatives, securitisation
  • Focus on credit default swaps:
    • Basic structure and uses
    • Variants: index and basket products
    • Using index tranche products to understand default correlation
  • Practical issues and uncertainties to consider when managing credit risk: liquidity, basis and wrong way risk, hedging Credit Valuation Allowance (CVA) on derivatives

Measuring Portfolio Risk

  • Portfolio credit risk vs. single credit risk
  • Credit risk loss distributions: quantifying expected and unexpected losses
  • Contrasting credit and market risk measurement
  • Key drivers of credit risk:
    • Probability of default: using rating models and rating migration
    • Default correlation: importance and issues with estimation
    • Loss given default: recognition, calculation issues
    • Exposure at default: estimation issues for different risk types

Credit Risk Models

The goal of this section is to review the key types and approaches of credit portfolio models.

Introduction to Credit Portfolio Models

  • Basic statistics for risk management:
    • Volatility, correlation, VaR, Monte Carlo simulation
    • Use of copula functions to model default correlation
  • Alternative modelling approaches
    • Default models and mark to market / multi-state models
    • Structural and reduced form models
    • Conditional and unconditional models
  • Widely used models: KMV, Credit Risk+, CreditMetrics, CreditPortfolioView, Algorithmics
    • Key features and advantages and disadvantages of each model
    • Who uses what model?

Scenario and Sensitivity Analysis

  • Why scenario analysis is necessary and different methodologies
  • Role of scenario analysis within the stress testing framework
  • Sensitivity of key inputs: probability of default, number of rating scales etc

Capital Allocation

Regulatory Framework

  • Basel II capital adequacy framework for credit risk:-
    • Rationale for replacing the simple BaselI approach
    • Basel II standardised and internal ratings approaches
    • Basel II credit risk formula and comparison with other models.
    • Impact of changes to the framework proposed under Basel III

Economic Capital:

  • Key differences between regulatory (Basel II) and economic capital
  • Uses of economic capital and economic value added concepts in a bank
  • Relationship between shareholder, regulatory and economic capital


  • Role of credit portfolio management: veto rights, advisory or profit centre
  • Within credit department: controller or adviser
  • Decisions makers: front office credit treasurers
  • Lessons learned from and impact of the sub-prime and the Global Financial Crisis
  • Lessons observed during the pandemic and recession, 2020

Why choose Fitch Learning

9 in 10 would recommend us to a colleague

Over 1,300 clients worldwide

CPD recognized

Continuing Studies

Completion of this course can lead into: Credit Risk: Key Concepts which provides an introduction to the topic and Risk Management in Banks & the Capital Implications which provides a broader overview of all risk management areas.

About provider

Fitch Learning

Live Online Training Since 2003, Fitch Learning’s industry experts have been delivering world-renowned virtual training programs to learners across the globe. Benefits include: World-class video conferencing technology  Fully interactive, engage and network with peers using break out rooms, quizzes and...

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Fitch Learning

17th Floor, 25 Canada Square
E14 5LQ Canary Wharf London

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Average rating 5

Based on 4 reviews.

"Extremely useful & was pitched at the right level. Enables me to grasp key concepts of portfolio managers." Damir Bajric - Mitsubishi Corporation
James Hambleton
An excellent introduction to Portfolio Management training course. James Hambleton - Leeds Building Society
Jorge Guerrero
Excellent. Good overview of key concepts in credit portfolio management, especially in quantifying credit risk. Jorge Guerrero - Freddie Mac
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