The seminar extends the discussion of credit VaR models to examine credit risk capital. It compares both economic capital and regulatory capital for credit risk as defined under the new Basel Accord.

 

At the end of Intrinsic Value's training seminar in credit risk capital calculation the participant should be able to:

􀂅  Explain the calculation of Economic Credit Capital using Credit Portfolio

     Models.

􀂅  Demonstrate Minimum Credit Capital Requirements under Basel I.

􀂅  List the Weaknesses of the Basel I Accord for Credit Risk.

􀂅  Explain the Latest proposal for Minimum Credit Capital requirements.

􀂅  Describe the Standardised Approach in Basel II.

􀂅  Describe the Internal Ratings Based Approach (IRB) for Corporate, Bank and

     Sovereign Exposures.

􀂅  Describe the Internal Ratings Based Approach (IRB) for Retail Exposures.

􀂅  Describe the Internal Ratings Based Approach (IRB) for SME Exposures.

􀂅  Describe  the  Internal  Ratings Based Approach (IRB) for Specialised Lending

     and Equity Exposures.

􀂅  List the new components of Pillar II for credit risk.

􀂅  Explain Credit Model Estimation and Validation in Basel II.

􀂅  Describe Securitisation in Basel II.

􀂅  Describe the application of credit risk contribution methodologies for Economic

     Credit Capital Allocation.

􀂅  Demonstrate   the   Shortcomings  of  VaR  for  Economic  Credit  Capital  and

     Coherent Risk Measures.