This programme combines advanced financial analysis with the quantitative parameters that drive credit loss estimation, notably default probability, loss severity and exposure at default.
Participants build a simple internal scoring model, examine how internal ratings are calibrated and used, and confront the limits of any model when confronted with an atypical file. Considerable attention goes to writing a risk note that is short, honest and defensible, and to arguing it in committee.
The programme ends on portfolio level steering and concentration effects. Participants leave able to move fluently between the individual file and the portfolio view.
Who it is for
Senior credit analysts, modellers and decision makers in credit committees.