Foundations for credit risk modelling are laid in this seminar, which explains the three basic components of a credit loss: the exposure, the default probability and loss given default. The product of these three, which can be defined as random processes, is the credit loss distribution.

 

At the end of Intrinsic Value's training seminar in foundations for credit risk modelling the participant should be able to:

􀂅  Describe the responsibilities of a credit risk manager.

􀂅  Define Default Risk.

􀂅  Define Exposure, Default and Recovery Processes.

􀂅  Explain the Credit Loss Distribution.

􀂅  Explain Expected and Unexpected Lossn Describe Recovery Rates.

􀂅  Discuss use of beta distribution in credit risk modeling.