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Credit Risk Modeling
May 19, 2016
Jadwal Pelatihan Credit Risk Modeling
| Tanggal | Tempat | Kota | | Belum ada jadwal terbaru |
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)
