Course
Credit Risk Measurement & Stress Testing
Led by Mahendra Mehta · Financial risk management, Credit and operational risk measurement, Modeling, Risk mathematics, Derivatives Specialist
Dates coming soon
$1,850.00
per seat
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About this program
This course would provide an overview of Fundamentals of credit risk measurement. Stress testing is not just a regulatory compliance, banks internally need to evaluate the adequacy of their capital to absorb stressful external environment.
Overview
This course would provide an overview of Fundamentals of credit risk measurement.
Stress testing is not just a regulatory compliance, banks internally need to evaluate the adequacy of their capital to absorb stressful external environment.
Stress testing is also required for several other investments of banks – such as investments in asset-backed securities.
This training program would not only provide perspective of credit risk measurement context but also provide the usage of advance techniques of credit stress testing
Learning Outcome:
- Credit Risk - Capital Calculation and Use of RAROC (Risk Adjusted Return on Capital) in credit Decisions
- Concentration Risk – Exposure Limits, Sector Concentration, and Rating Risk Limits etc.
- Credit Risk Stress Testing - Bank-wide Coverage, Credit Portfolios and Aggregate Group Basis
Curriculum
Day 1:
- Session 1: Elements of Credit Risk Measurement
Day 2:
- Session 1: RAROC / Risk Capital Setting
- Session 2: Concentration risk
- Session 3: Stress Testing Framework
- Session 4: Credit Risk Stress Testing Components
InstructorMahendra MehtaFinancial risk management, Credit and operational risk measurement, Modeling, Risk mathematics, Derivatives Specialist
has been involved in consultancy and teaching on various financial topics focusing primarily on financial risk management, which includes market, credit and operational risk measurement, modeling, Risk mathematics, derivative pricing and valuation mathematics and analytics its management and modeling, Enterprise Risk Management, development and implementation of policies, processes and procedures in the businesses.