Implementing and Managing the Advanced IRB Approach
| Date: | 03-Mar-15 to 05-Mar-15 |
| Location: | Downtown Conference Centre / New York / United States |
| Category: | Education |
Whilst the internal ratings based approach has faced its critics, based on Byres comments it is here to stay. In this two day training course hosted by Risk, experts in credit risk modelling and validation will teach modelling approaches for PD, EAD and LGD, as well as tools and techniques for validation, data management, coping with regulatory change and stress testing. The course will also help delegates to understand the important correlations among PD, LGD and EAD, and how this has an impact on capital calculation, pricing and credit portfolio management.
The learning objectives of this course include:
– Gain an understand of the 2014 - 2015 regulatory landscape in relation to the AIRB
– Learn how to effectively model the probability of default (PD)
– Understand the modelling challenges behind exposure at default (EAD)
– Comprehend how to quantify and model loss given default (LGD)
– Understand the interaction between PD, EAD and LGB
The learning objectives of this course include:
– Gain an understand of the 2014 - 2015 regulatory landscape in relation to the AIRB
– Learn how to effectively model the probability of default (PD)
– Understand the modelling challenges behind exposure at default (EAD)
– Comprehend how to quantify and model loss given default (LGD)
– Understand the interaction between PD, EAD and LGB
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