Best Practices in Credit Parameter Measurement (LGD, EAD, PD)

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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.

Course Description

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.

 

Earn 16 hours CPD points for attending this event!
For the past two years, Gary has worked as an independent consultant on projects for the European Central Bank’s TRIM (targeted review of internal models). His focus has been on quantitative credit risk assessment and management in financial institutions (principally the Basel regulatory accords).





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Payment Methods: Kindly note that payment is required no later than 14 days from invoice date. In the event of nonpayment, Masterclass Events reserves the right to cancel the booking and the full amount under disagreement will be due and payable.

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Cancellation and Transfer Policy: Delegates unable to attend the event may send a substitute delegate in their place. Please send written details of substitution. Written cancellations must be received more than 10 working days prior to the date of the event and will be liable for 50% of the event fee. Failure to cancel, or cancellations received 10 working days or less prior to the event date, will result in liability for the full event fee. Masterclass Events reserves the right to alter the program and speaker details without notice.

R 13 495.00 (VAT Excl) per delegate

Group Discounts
3+ delegates: 10% group discount
5+ delegates: 15% group discount

Bookings are confirmed upon receipt of signed registration form. All prices are exclusive of 15% VAT.

There is a R605 per day surcharge for Kosher & Halaal Meals.

Payment Methods:
Kindly note that payment is required no later than 14 days from invoice date. In the event of nonpayment, Masterclass Events reserves the right to cancel the booking and the full amount under disagreement will be due and payable.

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