CONTENT

Course content

Credit Risk Overview

• The various concepts of credit risk
• Traditional and current definitions of credit risk: default and credit migration
• Credit risk for bank lenders and fixed-income investors
• Categories of credit risk
• 2007-2008, lessons learnt in credit risk

 Portfolio-based Risk Management Strategy

• Portfolio management objectives: balancing risk appetite and diversification to maximise risk-adjusted returns
• The different ways to handle risk, applied to credit risk
• Diversification, granularity and correlation concepts
• Contagion risk – lessons learned in mature and emerging markets
• Techniques to spread risk: syndication, sub-participation, whole loan sales

 Measuring Portfolio Risk

• Portfolio-based 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
  • Loss given default: recognition, calculation issues
  • Exposure at default: estimation issues for different risk types
  • Default correlation: importance and issues with estimation

 Credit Risk Models

• Basic statistics for risk management:
• Alternative modelling approaches
  • Default models and mark to market / multi-state models
  • Structural and reduced form models
  • Conditional and unconditional models

Conclusions

• Role of portfolio-based credit management
• Within credit department: controller or adviser
• Decisions makers: front office credit treasurers
• Applicability for Vietnam and the way forward

BENEFIT

• Understand various techniques used to manage credit risk within a portfolio and the key drivers of credit risk.
• Learn key types and approaches of credit portfolio models.
• Know how to measures risk in credit portfolios
• Know how to run a stress testing to credit portfolios
• Learn principals of capital allocation to different credit portfolios based on their risk and return

WHO SHOULD ATTEND

• Credit risk manager
• Credit portfolio manager
• Credit approval team
• Finance team
• Capital planning team
• Capital management team
• Credit product developers
• Basel team

TESTIMONIAL

"The Courses at ARFQuant vary in many topics which reward for those who work in the financial sector. The pursuit of these specialized courses is a very arduous process, but the results are well worth the effort. The courses go from theoretical to practical, thus helping to better understand the nature of the problem, as well as how to apply it in practice. Overall, ARFQuant course leaders are very good at teaching and dedicated. Participation in ARFQuant courses helps to increase the systematic and effective learning compared to self-study and self-study." Phương Phùng- OCB

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"A survey on the main issues that the trainees are interested in has been conducted to make sure that the course’s content is fit the needs of the trainees. The training environment was open which encourage the participation of all attendants. Instructors are enthusiastic, supportive and willing to share their knowledge and experience" Phượng Phan - FeCredit

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"The course leader has deep knowledge in risk management, he is enthusiastic and open to the students. Teaching methods attract the attention of students. He usually use stories mixed with humor as examples for the whole class and to create a dynamic atmosphere. The course was  organized professionally" Hien Phan - BIDV

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"From the beginning of 2017, I have been experiencing 02 courses at ARFQuant - Statistics - modeling risk, internal credit rating model.

Even the duration of the courses were quite short but the knowledge I obtained from the course is huge, thanks to the special way that ARFQuant’s teachers deliver the course: simple, understandable and valuable. During the course I felt quite comfortable and easy to grasp knowledge. In addition to the mandatory content in the curriculum, teachers share more experiences in learning and research (eg, Mr. Hoang shared his experiences in reading and reviewing FRM and Mr.Fred taught how to handle data when it is bias, etc.).
Materials and lectures are well designed and focused. At the end of the course, I can take advanced knowledge gained in these materials to study and work. However, it would be more complete if the material introduces some other sources of reference so that I can read more after the courses.

 If I have the opportunity to attend other courses, I would like to experience at ARFQuant again. " Thảo Nguyễn - OCB

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