Basel I/II/III Retail Credit Risk Modelling Skills Training,Nairobi and Mombasa Kenya
Introduction
Various Central Banks in Africa have issued the guidance notes on Regulatory Capital Measurement and Management for the Banking System (Basel II Compliance). Accordingly, all bank and banking groups are expected to adopt the basic approaches for the computation of capital requirements for credit risk, market risk and operational risk.
Under Basel II/III, capital adequacy generally hinges around the proper estimation of Basel II/III risk parameters: PD, LGD, EAD. These parameters are used on one hand as inputs to credit portfolio models, and on the other hand, to compute regulatory capital.
Credit risk continues to constitute the greatest challenge to banks, financial services providers and regulators worldwide. The modeling of Retail credit risk therefore becomes a necessary and obligatory process for every bank. Being able to build own internal or standardized models saves organizations from unnecessarily losing millions to consultancy firms.
This course is designed to equip participants with the knowledge and techniques to enable them to build credit risk models within their organizations with minimal or no help.
Training Methodology
Ideally, you will bring your own laptop with Microsoft Excel. The training course will be interactive in nature, proactive, pragmatic, action-based, non-theoretical and non-academic. Industry-specific examples will be done as case studies. A package of detailed notes will be handed out.
Course Content
- Overview of Credit Risk
- The Basel II Pillars & Basel II Compliance
- Retail versus Wholesale
- Credit Risk Modeling
- Probability of Default (PD)
- Loss Given Default(LGD)
- Exposure at Default(EAD)
- Credit Risk Weighted Assets calculation (CAR, ICAAP)
How everything fits in
Course Objectives
After completion of the course, delegates will have sound knowledge and understanding of the various techniques for retail credit risk modeling.
In addition, participants will have a concrete understanding of not just the theory but the practical ways to properly push their Basel II/III projects with confidence and certainty.
Who Should Attend
The following professionals should find this course appealing:
- Credit Risk Analysts
- Quantitative Analysts
- Bankers
- Financial Analysts
- Model Risk Auditors
- Corporate & Other Finance personnel
- Financial and Investment analysts
- Executives and Managers
- Professionals in financial services industry
- Interested parties
AGENDA
Overview of Basel II Credit Risk Modelling and Models
The Basel II/III Audit Sheet: The Backbone
Definition of Credit Risk
Wholesale versus Retail Models
Overview of the retail portfolio
The modeling process A to Z
Pillar 1: Minimum Capital Requirements
Credit Risk Approaches to measure credit risk
The Modified Standardized Approach The Simple and Comprehensive Approaches
Credit Risk The 2 Internal Ratings-Based Approaches (IRB)
Expected and Unexpected Loss BIS
IRB PD, LGD, EAD, M, K
Examples of Capital Requirements
Retail PD Modeling
The Scoring Concept
PD Estimation Techniques
The LogitModel
Case Study: Building a PD and a Credit Rating Model
Retail LGD Modeling
Modeling Loss Given Default (LGD)
Estimating Recovery Rates
LGD Validation
Case Study: Building an LGD model for a particular portfolio
Retail EAD Modeling
Estimating credit conversion factors (CCF)
Risk drivers for CCF
Estimating Loan Equivalents (LEQ)
Risk drivers for LEQ
EAD Validation
Case Study: Building an EAD model for a particular portfolio
Dolphins Training & Consultants ltd
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P O Box 27859 00100 Nairobi, Kenya Tel +254-20-2211362/4/5 or 2211382 Cell+254-712-636404
training@dolphinsgroup.co.ke www.dolphinsgroup.co.ke
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