This interactive course is designed for those who are interested in learning about the major credit risk models used by Wall Street and The City. Knowledge of basic credit concepts is assumed. The course will be supplemented with exercises and a case study to reinforce concepts in the presentation.
Course Objectives
By the end of the course, participants will be able to:
- Define credit risk and its components
- Differentiate between the different components of default risk
- Identify credit scoring and internal rating systems of financial institutions
- Define credit risk measurement and its purpose
- Compare and contrast between widely used measurement models
- Credit Metrics
- CVaR
- Merton
- KMV
Suggested Prerequisites:
- None but knowledge of basic credit concepts is assumed
Program Level:Foundational
Advance Preparation: None
Computers and Financial Calculators: Computers
Recommended CPE Credits: 7