The purpose of this seminar is to give you a clear understanding of how banks address credit risk within the perspective of the recent regulations.

The regulatory view of credit risk is central to bankers. However, an economic approach is required to gain an edge in assessing credit risk and contribute to the profitability of the bank. This means working out credit risk models to create the ability to measure and discriminate risks, including the revolutionary IFRS 9, the latest developments in counterparty credit risk and the infamous output floor.

The three days are structured as follows:

Day 1 defines and explores credit risk and its main components, exposure, default and recovery. We introduce capital as the metric for measuring credit risk and IFRS 9 for its provisioning. Then we focus on the regulatory approach to credit risk. We discover how regulators define and measure it. Pros and cons of their approach are uncovered, and the consequences.

Day 2 is dedicated to the economic approach to credit risk. We explore how it differs from the regulatory approach and why it is central to value creation. And we address the issue of provisioning with the revolutionary IFRS 9. Then we look at the credit risk models: from scorecards and roll rates to vintage models for retail portfolios, and also migration matrices, structural and empirical approaches for corporates, along with specific issues related to sovereigns.

Day 3 looks at the life of a loan, from the granting process and transaction pricing with RAROC to the potential impacts on the maturing phase and how to deal with them. Finally, we address the challenges of reporting credit risk, and disclose current issues from macro-prudential regulation, public debt and geopolitical risks.

Throughout all three days, we maximize the benefits of working onsite with a high frequency of questions, exercises and games using the most advanced learning tools in order to facilitate the assimilation of concepts and techniques.

By the end of the workshop, participants have a thorough understanding of the conceptual and practical issues related to credit risk today and are ready to act as a capable professional on most issues related to credit risk, provisioning and pricing.