Kurum-İçi Eğitim Programları
B09. Credit Risk
Course description:
This course is designed to provide methods in evaluating financial risks and managing them with derivatives. The course begins with an analysis of how risk management contributes to firm value and the presentation of risk measures that are useful in risk management, and then it turns to discuss risk models and their use in both pricing and managing credit risk exposures. Credit derivatives are used either for position taking and structured financing.
Course content:
- Introduction to credit risk and nature of credit risk exposures
- Default probabilities
- Corporate bond pricing models
- Structural modeling of credit risk
- Intensity-based modeling of credit risk
- Understanding credit spread
- Modelling the term structure of credit spread
- Estimating the credit risk from bond and equity prices
- Recent advances in credit risk modeling
- Statistical techniques to analyze default
- Comparison of CreditRisk+, CreditMetrics and KMV approach
- Understanding of credit risk management techniques
- An Introduction to credit derivative products and their application
- Pricing various credit derivatives and structured finance products
During this programme participants will:
- Gain an appreciation of the on-going evolution of the structured credit market
- Analyse the structural features of structured credit products including single tranche and CDO products
- Review developing products in the structured credit derivative space
- Analyse the risk management techniques being used or discussed in the market today
- Identify the inputs that go into pricing structured credit products
- Understand how these inputs interact with each other and how they drive outcomes
- Gain an appreciation of the difficulties market participants may encounter in pricing and valuing structured credit products
- Understand how hybrid products are created
- Gain an appreciation for the risks embedded in hybrid products
- Analyse various hybrid products to decompose them into their basic derivative elements
- Basics of CDS
- CDOs
Training courses that cover the above topics in detail:
- Credit Derivatives Overview
- CDO Overview
The themes of this product are:
Mechanics and techniques for the assessment, quantification and management of the
credit risk for exchange-traded and over-the-counter derivatives
Counterparty Credit Risk
The themes of this product are:
Mechanics and techniques for the assessment, quantification and management of the
credit risk for exchange-traded and over-the-counter derivatives
Overview
Expansion and globalization of financial markets,
complicated derivative contracts and an array of
structured products are giving rise to counterparty
credit risk.
This product focuses on the mechanics and
techniques of the assessment, quantification and
management of the credit risk for various derivative
products and includes techniques for the mitigation
of pre-settlement and settlement risk such as
netting and margin and collateral requirements. We
also look at the Monte Carlo simulation methods
for projecting worst-case exposure at the portfolio
level.
Course Level & Number of Courses
Intermediate Level
Library of 9 Courses
Instructional Method
Dynamic, Interactive e-learning
Recommended Background
Familiarity with basic financial concepts
Counterparty Credit Risk
Library of 9 Courses
Time taken to complete each Course: Two - Three hours
1. Overview to Derivative Products-I
Objectives
Introduction
Forward contracts
Futures
Swaps
2. Overview to Derivative Products-II
Objectives
Introduction
Options
Option strategies-I
Option strategies-II
3. Credit Exposure
Objectives
Introduction
Credit Exposure
Measuring Credit Exposure
Probability of Default
Recovery Rate
Counterparty Credit Risk
Library of 9 Courses
4. Credit Risk in Derivative Products
Objectives
Introduction
Credit Risk in Swaps
Credit Risk in FRAs
Credit Risk in Options
5. Pre-settlement & Settlement Risk
Objectives
Introduction
Pre-settlement risk
Settlement risk
6. Netting
Objectives
Introduction
Types of netting
Regulatory requirements
Capital treatment
7. Margin and Collateral Requirements
Objectives
Introduction
Margin
Collateral
Haircut
Counterparty Credit Risk
Library of 9 Courses
8. Monte Carlo Simulation
Objectives
Introduction
Monte Carlo and Credit Risk
9 Case Studies
Objectives
Barings Bank’s Fall
Metallgesellschaft
JOB AIDS
Measurement Tools
Disclosures
Regulations
Global Best Practices
Benchmarking Data
References
Calculators in Counterparty Credit Risk
1. Margin Call
2. Margin Cost
3. Credit Exposure in an FRA
4. NPV
5. FRA
