The seminar tackles one of the most crucial issues for credit risk modelling: how to model credit risk in a portfolio context and thereby estimate credit VaR. Since diversification is one of the most important tools for the management of credit risk, risk measures on a portfolio basis are fundamental. A number of tools are examined, including the credit migration approach, the contingent claim or structural approach, and the actuarial approach.

 

At the end of Intrinsic Value's training seminar in portfolio models of credit loss the participant should be able to:

􀂅  Define Defaultn Describe new approaches to Credit Risk Modelling.

􀂅  Explain Credit VaR.

􀂅  Define Credit Migration.

􀂅  Describe the Credit Metrics Framework.

􀂅  Demonstrate Credit VaR for a single Bond/Loan.

􀂅  Demonstrate the Estimation of Default and Rating Changes Correlations.

􀂅  Describe the Credit VaR approach of a Bond/Loan Portfolio.

􀂅  Explain the Conditional Transition Probabilities – Credit PortfolioView Model.

􀂅  Explain the idea of contingent claim approach in credit risk measurement.

􀂅  Demonstrate Structural Model of Default Risk: Merton’s (1974) Model.

􀂅  Demonstrate Estimation of Credit Risk as a function of Equity Value.

􀂅  Demonstrate the KMV approach.

􀂅  Demonstrate the Actuarial Approach.