With increasing regulatory pressure on banks, the need to correctly measure and manage credit risk in bank portfolios has become a critical compliance issue. Knowing the rapidly changing Basel rules is sometimes not enough: new European Central Bank regulations (like IFRS9 and TRIM) are emerging all the time and each new iteration adds more complexity to the already bewilderingly complex regulatory milieu.
These European rules often translate into Basel rules and Basel rules apply to all global Basel-compliant banks. These include all South Africa’s major banks.
The credit risk regulatory rules have not changed much since Basel II was implemented in 2008. It is true that rules have changed after the credit crisis (so now more and more non-compliant banks must revert to (new) standardised approaches, for example) but the internal approaches for credit risk have remained largely the same.
Basel’s regulatory credit risk model components (PD, LGD, EAD and asset correlations) are still used, but have come under increasing regulatory scrutiny. How are they measured? What is the minimum data sample? How are cure rates dealt with? Multiple year PDs? LGD best estimates? LGD add-ons, discriminatory measures, margins of conservatism, collateral and so on.
The practical course explores many facets of regulatory credit risk measurement and management. It is designed for those who need to understand the origins of regulatory credit risk models and these model constituents in more detail.
Through the analysis of the best current industry practice, delegates will learn how to set up, maintain and improve the measurement of regulatory credit risk model components. Delegates will also have a chance to learn about the evolution of the models including the latest industry trends as well as covering the relevant mathematics.
Simple Excel examples will be used as much as possible and all aspects of the course will be reinforced using these Microsoft Excel-based models. Although delegates will be encouraged to participate in the assembly of their own spreadsheets, pre-made, simple spreadsheets will also be provided to cover most aspects of the course.