Credit Risk Management And Modeling


This program is designed to deliver a deep, practical understanding of credit risk analysis frameworks and how to deploy them and act on them in practice in financial institutions. Successful candidates will be better prepared to implement meaningful risk assessment initiatives, produce useful risk management information and understand the key modeling techniques for credit risk measurement.


The overall objective of this credit risk management course is to equip delegates to conduct credit risk analysis and management using a structured approach. Delegates will learn to combine qualitative assessment and quantitative analysis techniques to evaluate business performance.


On successful completion of the program, you would be awarded the professional certification in "CREDIT RISK MANAGEMENT, MODELING AND REGULATIONS" by Moody's Analytics and EduEdgePro.


  • Credit Risk Assessment and Measurement Frameworks for identifying and quantifying credit risk
  • Excel models to calculate Credit Value-at-Risk
  • Regulatory capital calculators for Credit Risk in Basel 2/3
  • Monte Carlo simulations for EE and PFE calculations for important transactions such as Interest Rate swaps and Cross Currency swaps
  • Exhaustive reading material covering the detailed sections outlined below
  • Practical hands-on Risk Modeling and Analytics useful for careers in Credit Risk Management and Modeling


  • The definition and the implications of credit risk for banks and other financial institutions. Identify the different types of credit risk and how they arise in a financial institution's various activities
  • Understand how credit risk can be quantified, monitored and controlled, exploring the role of credit portfolio management tools such as collateral, documentation and credit derivatives
  • How to critically use basic measures of risk like Value-at-Risk and Expected Shortfall: computation and interpretation
  • How to define the probability of default of a counterparty
  • Important credit risk models like Merton’s model, the Moody’s KMV model, CreditMetrics™ and Credit Risk Plus™
  • Understand the need for capital, differentiating between definitions of capital applied by various stakeholders such as management and regulators. The most recent risk regulations for banks: Basel II and Basel III


This course is aimed at those who wish to explore the more advanced aspects of Operational Risk Management to build a career in the below areas:
  • Bankers
  • Relationship Managers
  • Financial Advisors
  • Credit Risk Management Professionals
  • Financial Advisors
  • Consulting Professionals
  • Bank Regulators
  • Treasury Managers
  • Risk Analysts
  • Accountants and Auditors

Fast Facts

  • Certified by : Moody’s Analytics and EduEdgePro
  • Broad Coverage:
  • Foundations of Credit Risk
  • Credit Derivatives Instruments and Securitization
  • Credit Life-cycle
  • Important aspects from Credit Analysis perspective
  • Quantifying Credit Risk and Calculating Credit Value-at-Risk
  • Regulatory capital for Credit Risk : Basel 3
  • Probability Default Math for credit risk
  • Modern Credit Risk Modeling
  • Counterparty Credit Risk and CVA
  • Wrong Way Risk and Types
  • Credit Risk


    The aim of this section is to understand the impact of Credit Risk on the performance and financial standing of a financial institution. This section also looks at various types of Credit Derivatives such as Credit Default Swaps, credit Spread products, Collateralized Debt Obligatons and many more and this section also covers concept of Credit Life-Cycle and various aspects from Credit analysis.

    Overview of Credit Risk
    • Impact of credit risk on the performance and financial standing of a financial institution
    • Quantifying credit risk: default, recovery and migration statistics
    • Capital adequacy: the need for adequate capital to meet unexpected losses
    • Recognising the early warning signs of high credit risk
    Credit Derivatives and Securitization
    • Credit Default Swap (CDS) and Mechanics
    • Credit Spread Products
    • Collateralized Debt Obligations (CDOs
    • CLNs and TRORsrisk
    • Structured Credit as A Funding Tool
    • Linear Credit Risk Transfer
    • Structured Credit as a Risk Management Tool
    • Bespoke Structured Credit

    Credit Risk Life-cycle and Methodology

    Credit Life-cycle
    • Introduction/Basics
    • Origination Phase
    • Credit Risk Assessment
    • Monitoring Phase
    • Workout Phase
    • Other Considerations
    Important aspects from Credit Analysis perspective
    • Introduction and Setting the Scene
    • Fundamental Credit Analysis
    • Analyzing Wholesale Credit
    • Analyzing Retail Credit
    • Conclusion: Classic vs. Modern Credit Analysis Methodologies

    This section looks into calculation of Value-at-Risk(VaR) and its approaches. It also looks into concepts of Effective Potential Exposure(EPE),Potential Future Exposure etc. and also covers the concepts of regulatory capital for Credit Risk.

    Calculating Credit Value-at-Risk
    • Introduction to Value-at-Risk
    • Value-at-Risk Approaches
    • Expected/Unexpected Loss Estimation
    Important concepts in quantifying credit risk
    • Current Exposure
    • Add-on
    • Potential Future Exposure (PFE)
    • Expected Exposure (EE)
    • Stressed PFE
    • Effective Potential Exposure (EPE)
    Regulatory capital for credit risk
    • Basel 2 and credit risk
    • Capital calculation using RWA approach
    • Standardized approach
    • Foundation IRB
    • Advanced IRB
    • Relationship between RWA and credit capital
    • Credit Risk under Basel 3
    • Concept of CVA

    The aim of this section is to explore the main concepts like concept of default and survival,Working out DPC and SPC and many more.It also covers different models like Credit VaR models, Credit Scoring Models etc.

    Probability Default Math for credit risk
    • Concept of default and survival
    • Working out DPC and SPC
    • Implied DPC and SPC from defaultable bond prices
    • Implied DPC and SPC from CDS prices
    • Tree based models
    Modern Credit Risk Modeling
    • Credit Risk Parameters
    • Credit VaR Models
    • Credit Scoring MOdels
    • Implementation
    • Modeling Credit Risk Mitigation
    • Risk Allocation and Performance Management

    This section aims to demonstrate basics of counterparty risks.It also covers concept of Credit Valuation Adjustment and related aspect aa well as managing CVA and Counterparty Risk.

    Basics of Counterparty Risk
    • Historical Perspective
    • The OTC Derivative Market
    • Exposure Measurement
    • Risk Appetite
    Credit Valuation Adjustment, CVA
    • CVA Definition and Calculating CVA
    • Debit Valuation Adjustment, DVA
    • Wrong-way Risk
    • Types of Wrong Way Risk
    • Right Way Risk
    CVA-related Aspects \97 Toward FVA
    • Funding Valuation Adjustment, FVA
    • Capital
    • Leverage Ratio
    • Liquidity Ratios
    Managing Counterparty Risk and CVA
    • Hedging CVA
    • Central Clearing Counterparties (CCP)
    • Managing Distressed Names and Defaults

    The final section explores the various techniques and methodologies that could be used to mitigate Credit risks.

    Various approaches for Risk Mitigation
    • Historical Perspective
    • The OTC Derivative Market
    • Exposure Measurement
    • Risk Appetite
    Credit Valuation Adjustment, CVA
    • Documentation
    • Netting
    • Collateral
    • Clearing
    • Compression
    • Guarantees, Intermediation, and Credit Insurance
    Mitigation through hedging using Credit Derivatives
    • How Credit Default Swap (CDS) could be used for mitigating credit risk
    • Hedging using Total Return swaps
    • Other credit spread products for credit risk mitigation
    • Collateralized Debt Obligations (CDOs) and hedging
    • Hedging sensitivities CS01, correlation, etc


    Let us bring our classes to you! Our in-house training are ideal for groups of 10 or more people. We can provide Off-the-shelf training in the form of our classic courses, or we can provide bespoke training, tailored to your organisational goals and objectives. Please contact us for further details

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