Finance, Accounting, Tax, Treasury, Audit & Risk ManagementJuni 2016Yogyakarta

Credit Risk Modeling

Jadwal Training Credit Risk Modeling:

    MATERI Training Credit Risk Modeling

    1. Bank Risk Management

    • Banking Crisis
    • Role Of Banks
    • Balance Sheet Risk Management
    • Sources Of Risk
    • Risk Management Process
    • Basel II Regulation
    • Credit Risk Components
    • Credit Risk Management
    • Financial Products
    • Credit Derivatives
    • Collateralized Debt Obligations

    2. Credit Scoring

    • Introduction
    • Scoring Steps
    • Score Types
    • Application Scoring
    • Behavioral Scoring
    • Performance Window
    • Characteristic Analysis
    • Expert-guided Adjustments
    • Linear Weighting
    • Least Square Regression
    • Logistic Regression
    • Discriminant Analysis
    • Determine PD
    • Setting Cutoffs
    • Scorecard Scaling
    • Power Curve (Cumulative Accuracy Profile)
    • Gini Coefficient
    • Receiver Operating Characteristic
    • Scoring Validation
    • Stability Report
    • Delinquency Report
    • Scorecard Accuracy
    • Credit Bureaus
    • Business Objective
    • Limitations

    3. Credit Rating I

    • Introduction
    • Rating and Scoring Systems
    • Rating Terminology
    • Rating System Process
    • Rating Philosophy
    • External Rating Agencies
    • Rating System at Banks
    • Application and Use of Ratings
    • Limitations

    4. Risk Modeling and Measurement

    • Introduction
    • Determining loss due to default/downgrade
    • Estimating PD / LGD / EAD
    • LossCalc
    • Amortization vs diffusion effect

    5. KMV EDF Credit Monitor

    • Introduction
    • Measuring Probability of default
    • Loss Given Default
    • Distance to Default
    • Merton Model
    • Implied Asset Value Volatility
    • Expected Default Frequency (EDF)

    6. Portfolio Model For Credit Risk

    • Introduction,
    • Measure of Portfolio Risk,
    • Concentration and Correlation, Credit Loss Distribution,
    • Credit VaR
      • Covariance redit portfolio model using beta distribution,
      • Basel II portfolio model
      • Coherent risk measure
      • Expected shortfall
      • Stress test

    7. JP Morgan Credit Metrics

    • Introduction
    • Credit Rating Transition Matrix
    • Spread Curve
    • Present Value Revaluation
    • Incorporating Default Correlation
    • Usage of Monte Carlo Simulation

    8. Credit Suisse Credit Risk

    • Introduction
    • Credit Risk Framework
    • Building Block in CreditRisk
    • Credit Risk Loss Distribution

    9. Monte Carlo Simulation

    • Introduction
    • Random Generator
    • Probability Distribution
    • Cholesky Decomposition
    • Define Assumptions, Determine Forecast Variables
    • Calculate credit loss distribution using default mode model
    • Credit VaR vs expected shortfall

     

    TRAINING METHOD

    Presentation

    Discussion

    Case Study

    Evaluation

     

    FACILITIES

    Training Kit

    Handout

    Certificate

    Lunch + 2 X Coffee Break

    Souvenir

    Pick Up Participant

     

    TRAINING FEE for Credit Risk Modeling

    Rp. 7.000.000,- / Participant / Non residential

    (Quota minimal 3 orang peserta pasti running)

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