Master credit risk and controls modelling with this masterclass on BASEL II/III frameworks, stress testing, and portfolio risk optimization. Participants will learn to calculate regulatory capital for credit risk, implement internal ratings‑based (IRB) approaches, and conduct stress tests. The curriculum covers probability of default (PD), loss given default (LGD), exposure at default (EAD), and expected credit loss (ECL). Through hands‑on modelling exercises, attendees will develop the skills to optimize risk‑weighted assets and manage portfolio risk. This program is essential for credit risk analysts, capital management professionals, and risk model validators.
Objectives
- Understand BASEL II/III frameworks for credit risk
- Estimate PD, LGD, and EAD using statistical models
- Calculate regulatory capital under standardized and IRB approaches
- Conduct stress testing and scenario analysis
- Implement expected credit loss (ECL) models under IFRS 9
- Optimize portfolio risk through diversification and concentration limits
- Use credit portfolio models (e.g., CreditMetrics) to measure unexpected loss
- Validate risk models for regulatory approval
- Integrate credit risk with ICAAP and economic capital
Target Audience
- Credit risk modelers and analysts
- Risk managers in banking and finance
- Capital management professionals
- Internal and external auditors of risk models
- Regulators and supervisors
- Consultants in credit risk
Methodology
- PD/LGD/EAD estimation workshops (Excel, R, Python)
- Capital calculation exercises
- Stress testing simulations
- Portfolio optimization labs
- Case study analyses of credit risk events
- Model validation discussions
- Peer sharing of risk practices
