Program pelatihan Credit Risk Modelling Course ini sangat tepat bagi Anda yang ingin mendapatkan pemahaman pemodelan risiko kredit. Dimulai dari credit scoring dan rating, pemodelan probability of default, perhitungan risiko kredit secara individu sampai perhitungan secara portfolio. Selain itu juga dibahas mengenai validasi pemodelan yang dilakukan. Program ini dapat dilakukan di kantor Anda dengan waktu kira-kira 12 jam atau sesuai dengan keperluan perusahaan Anda. Selain mendapatkan materi presentasi pelatihan, peserta juga mendapatkan software Excel add-in Monte Carlo Simulation, CreditMetrics dan berbagai spread sheet lainnya. Oleh karena itu setiap peserta diharapkan membawa notebook masing-masing.
Adapun agenda pembahasan mencakup topik berikut:
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
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
Computer workshop: credit scoring
Credit Rating: 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
Risk modeling and measurement: introduction, determining loss due to default/downgrade, estimating PD / LGD / EAD, LossCalc, amortization vs diffusion effect
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)
Computer workshop: EDF
Portfolio model for credit risk: introduction, measure of portfolio risk, concentration and correlation, credit loss distribution, Credit VaR: covariance credit portfolio model using beta distribution, Basel II portfolio model, coherent risk measure, expected shortfall, stress test
Computer workshop: Credit VaR
JP Morgan CreditMetrics: introduction, credit rating transition matrix, spread curve, present value revaluation, incorporating default correlation, usage of Monte Carlo simulation;
Computer workshop: CreditMetrics
Credit Suisse CreditRisk+: introduction, CreditRisk+ framework, building block in CreditRisk+, CreditRisk+ loss distribution;
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
Computer workshop: Monte Carlo Simulation
