BASEL II Credit Risk Management

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Course Overview This course covers the Basel II credit risk management techniques: standardized approach and advanced approach (internal ratings). This training requires prior knowledge of basic statistics and financial mathematics notions.  Course Objective Participants shall be..

Start Date:

10 September, 2018.

End Date:

12 September, 2018.

Amount:

NGN 180,000.00

Category:

Banking and Finance

Course Overview

This course covers the Basel II credit risk management techniques: standardized approach and advanced approach (internal ratings).
This training requires prior knowledge of basic statistics and financial mathematics notions. 

Course Objective

Participants shall be exposed to hands-on- deck treatment of various approaches to Basel II Credit Risk Management Techniques

Course Outline

Presentation of the Basel II general framework and capital requirements

- Historical context: the Cooke ratio and its limitations
- Quantitative requirements: McDonough ratio, Basel II first pillar
- Qualitative requirements: second pillar and third pillar
- Implementation of the Basel II accord in the European Union
- Equity capital components : Tier 1, Tier 2, Tier 3

Implementation of the credit risk assessment standardized approach

- General introduction to the credit risk assessment standardized approach
- Resorting to external ratings and pondering counterparts
- Calibration of the Basel parameters according to the selected options

 Internal ratings models (advanced approach)

- Determination of the model parameters: Probability of Default (PD) and Loss Given Default (LGD)
- Determination of the Exposure At Default (EAD) : asset/liability outflow laws
- Management of a credit portfolio : correlations and transition matrix
Application : review of Moody's KMV and J.P. Morgan's Credit Metrics internal ratings

 Implementing the advanced approach models: strategy and organization

- Risk rating system governance: minimum requirements, risk quantification, validation of internal estimates
- Quality controls and financial communication requirements

Application: implementation of the "advanced approach" models (strategy, organization and information systems)

 Management of credit guarantees and derivatives
- Management of the guarantees using standardized approach and advanced approach
- Credit derivatives: accounting and prudential aspects
- Credit risk enhancement techniques

 Prudential management of securitization

- Operational requirements on classic securitizations and synthetic securitizations
- Management of securitization exposure: standardized approach
- Impact of the financial crisis on prudential requirements
 

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Phone Number:

+2348033467639

Email:

megaheads@gmail.com

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