Page 24 - MONECO Financial Training Catalogue
P. 24
CREDIT RISK MANAGEMENT: KEY CONCEPTS AND CURRENT DEVELOPMENTS
DATES: September 8 – 10, 2026 • PRICES: € 1,755 In-class, € 1,316 Online • LOCATION: Prague and Online
• Understanding the The purpose of this seminar is to give you a clear understanding of how banks address
full-spectrum of credit risk 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
• Distinguish between the bank. This means working out credit risk models to create the ability to measure
regulatory and economic and discriminate risks, including the revolutionary IFRS 9, the latest developments in
counterparty credit risk and the infamous output floor.
approaches The three days are structured as follows:
Day 1 defines and explores credit risk and its main components, exposure, default and
• Identify, measure, evaluate 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
and monitor credit risk regulators define and measure it. Pros and cons of their approach are uncovered, and
the consequences.
• Model credit risk for retail 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
and corporate exposures 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
• Evaluate profitability using matrices, structural and empirical approaches for corporates, along with specific issues
related to sovereigns.
RAROC 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.
• Navigate the end-to-end Finally, we address the challenges of reporting credit risk, and disclose current issues
from macro-prudential regulation, public debt and geopolitical risks.
credit lifecycle 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
• Get insights on current order to facilitate the assimilation of concepts and techniques.
issues and concerns 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.
40
TUESDAY, SEPTEMBER 8 • From Basel I to Basel III 10 –11 00
DAY ONE – FOUNDATIONS OF • European capital requirements, Break
00
CREDIT RISK AND THE CRR III 11 –12 30
REGULATORY APPROACH 00 20 Credit Provisioning with IFRS 9
00
09 –09 15 15 –15 • Why is IFRS 9 revolutionary?
Break
Welcome and introduction 20 20 • Multi-dimensional credit risk
15
09 –10 40 15 –16 • Forward-looking
Regulatory Assessment of Credit Risk
• Impact on credit risk oversight
The Nature of Credit Risk • Regulatory assumptions and
• Role of banks consequences 12 –13 30
30
• What is credit risk? • Retail, corporate and public Lunch Break
• Credit risk main parameters, exposures 13 –14 45
30
exposure, default and recovery • Counterparty credit risk Retail Credit Risk Modelling
• Customer and product typologies • Portfolio considerations • Credit risk profile of mortgages and
consumer loans
40
20
10 –11 00 16 –16 30 • Scorecards and DPD approaches
Break Wrap up Day One • Cohorts, vintage and survival
00
11 –12 30 approaches
Towards Measuring Credit Risk WEDNESDAY, SEPTEMBER 9 • Data requirements
• Risk basics DAY TWO – ECONOMIC APPROACH
• Credit risk and credit provision AND RISK MODELLING 14 –15 05
45
• Provisioning with IFRS 9 00 15 Break
05
• Credit risk capital 09 –09 15 –16 20
Review and Warm Up
• Articulating credit risk capital and 15 40 Corporate Credit Risk Modelling
provisions 09 –10 • Loss distribution
Economic Approach to Credit Risk
30
12 –13 30 • Credit loss as a value change • Empirical vs. structural models
• PD curves
Lunch Break • The three risks within credit risk • Migration matrices
• Credit risk parameters interactions
30
13 –15 00 • Portfolio effects • Sovereign specifics
Regulatory Approach to Credit Risk
• Supervisory architecture 16 –16 30
20
• EAD, PD and LGD Wrap Up Day Two
• Risk Weighted Assets, RWA
24 Hybrid course – both classroom and online training available.
