Advanced Portfolio Credit Risk Masterclass: Basel III, Course in New York, United States
New York City NY, United States
This program is highly intensive, interactive and encourages participation. Hands-on exercises, deal analysis, examples and case studies reinforce concepts and help deliver solutions. Delegates should have some familiarity or prior experience in lending, or a risk management background. Pre course work includes selected readings on simulation, real options and optimization demos.
On this 3 day financial course delegates will learn:
Understand the implications of Basel III new and pending capital requirements
Determine value-at-risk capital allocation and utilize RAROC pricing models
Understand interest rate risk in the banking book, convexity and immunization of (market) portfolio risk
Apply advanced cash flow, stochastic forecasting, loan book (portfolio) optimization, capital allocation, industry analysis to commercial lending within the context of the new Basel III accords
Apply advanced analytical tools to better understand changes in economic, industry and company conditions with respect to the proposed Basel III countercyclical buffer
Chose and apply the most appropriate optimization method to loan portfolios: discrete, dynamic or stochastic optimization, and how methodology improves capital allocation under the new Basel III accords
Master migration risk and learn how to use risk matrices to price and value loans and govern the loan portfolio optimally under uncertainty
Learn how to build and use interactive and local corporate and specialized lending risk rating systems
Attendance cost: $4,950.00