Credit Risk Modeling - Online

This course discusses the various approaches to credit risk modeling, including: CreditMetrics, the first available portfolio model for evaluating credit risk developed by JP Morgan; credit risk management framework introduced by Credit Suisse First Boston (CSFB); credit risk model developed by KMV Corporation (after Moody's acquisition, it is called M-KMV); credit risk model namely 'CreditPortfolioView' developed by McKinsey.

This is an online self study course that can be globally accessed 24/7 from any internet enabled computer. Access is for 91 days. Certificates with earned credits will be awarded upon successful completion.

También, se ofrece este curso en Español. Llamada para más información.

Available TodayOnlineUSD$175
Instructional Method:
Self-Study
Level: Basic

ICB CREDITSICPAS CREDITS
7.53
Individuals who require familiarity with credit basics and the asociated language, but who do not necessarily work in a credit or finance function.
Students will be able to:
  • Value a credit default swap using an equity-based and reduced form model
  • Estimate term structures of risk-adjusted default probabilities
  • Measure risk sensitivities of single-name credit derivatives
  • Develop a solid understanding of portfolio credit analytics
Familiarity with corporate balance sheets and income statements
"The course is effective in terms of explanations and ease of understanding!"
  • Credit Ratings - Online
  • Corporate Credit Analysis - Online
  • Credit Analysis - Online
  • Overview of Credit Portfolio Risk Management - VIRTUAL RECORDING
  • Counterparty Credit Risk - Online
    • Language Options
    También, se ofrece este curso en Español. Llamada para más información.
    Conceptual Approaches to Credit Risk Modeling
    Topics covered include:
    • The applications and hurdles in credit risk models
    • The distribution of credit losses
    • Conditional Vs. Unconditional models
    • The approaches to credit risk aggregation
    • The correlation between credit events
    Duration: 1 Hour

          • Its default prediction model

    JP Morgan CreditMetrics
    Topics covered include:
    • Introduction to CreditMetrics framework
    • Process followed to evaluate credit risk
    • Three powerful applications of CreditMetrics
    Duration: 1 hour

    CSFB's CreditRisk+
    Topics covered include:
    • CreditRisk+ model and its components
    • Stages in CreditRisk+ modeling process
    • Applications of CreditRisk+
    Duration: 1 hour

    KMV PortfolioManager
    Topics covered include:
    • KMV model
    • Distance-to-default
    • Expected default frequency
    • Advantages and weakness of KMV
    Duration: 1 hour

    Credit PortfolioView
    Topics covered include:
    • Methodology followed by CreditPortfolioView
    • Its default prediction model
    • Conditional transition matrix
    Duration: 1 hour

    Credit Portfolio Management
    Topics covered include:
    • Portfolio theories
    • Traditional Vs. modern credit management approach
    • Credit risk management tools
    • Comparison of credit risk model
    • Credit derivatives and asset securitization
    Duration: 1 hour

    Job Aids
    • Regulations
    • References

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