Virtual Recording

Overview of Credit Portfolio Risk Management

Instructor: Maya Rodriguez Valladares Description: This mini-virtual course will provide highlights of the three day Credit Portfolio Risk Management course offered at NYIF. Observations will be provided on credit portfolio risk management techniques, examining several of the models and approaches that have developed in the marketplace. The course considers how credit derivatives and other risk mitigation methods can be used in the implementation of a credit portfolio risk management program. Also, there is a discussion of the relationship of credit risk to other risks faced by financial institutions including market risk, operational risk, and liquidity risk. Duration (hours): 1 Target Audience: Credit portfolio managers, credit managers, risk managers, risk controllers, credit risk modelers, investment managers, asset managers, portfolio managers, quantitative analysts, IT professionals, regulators. Prerequisites: Basic understanding of credit and portfolio management assumed Learning Objectives: Students will be able to: Define and discuss the integrated view of risk management Debate the role of the credit reporting agencies Define and Discuss Internal Risk Rating Systems Discuss measuring credit risk in relation to the Value-at-Risk (VaR) approach Define the Options Theoretic Model of credit risk Identify credit risk mitigants Detailed Outline: An Integrated View of Risk Management Define risk Market risk Credit risk Operational risk Evaluate The Role of the Credit Rating Agencies Internal Rating Systems and Credit Risk Models Identify requirements for internal rating systems Exposure, default probability & expected loss Define Risk-Adjusted Return on Capital (RAROC) methodology Identify uses of credit models CreditMetrics Credit Value at Risk Options pricing of credit risk