To provide techniques for analysts and managers involved in Basel modelling and strategic decision making for retail credit risk.
This seminar was developed in association with Jon Hinder of Rhino Risk.
- The need for regulation and the Basel Accords framework
- The key input and outputs PD , EAD and LGD models
- Methodologies for the validation of models
- The challenges surrounding the estimation of regulatory capital under the IRB approach
At the end of this three-day seminar, delegates will understand:
- The fundamental philosophy driving the Basel accords
- How to design, build and validate models for calculating regulatory capital under Basel
- The role of scores in portfolio segmentation and in the internal rating based approach for Basel
- Techniques for addressing small sample / low default portfolios
- The strengths / limitations of each type of model – and issues concerning interpretation
- The ‘use test’ and stress testing
- Governance and regulatory considerations
Who should attend
Analysts and technical managers responsible for building, validating and testing Basel models
Senior managers from finance and credit risk, responsible for business interface with regulators and infrastructure to support Basel Accord regulations
Format and materials
Formal presentations with practical exercises and whole group discussion
Break-out discussion and feedback groups
Seminar manual to take away
3 days - available as an open or in-house seminar
Running this seminar in-house
We can offer this seminar at a date to suit you. It can also be tailored to suit your exact audience by selecting modules from other seminars - see the custom planner for options.
In-house seminars are generally more cost effective than registering for open seminar places, where you have more than 6 delegates wishing to attend.
Choosing to attend the open seminar
All open seminars are held at the top class Marriott Royal Hotel, Bristol, BS1 5TA, UK. Click for next dates.
For more on course content and place availability, email firstname.lastname@example.org