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Credit Portfolio Risk Management
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This course is designed to help participants understand the significant components and features of credit portfolio modelling and management (CPM). The aim is to elucidate how a broad range of risk modelling and risk assessment approaches can be brought together to enable risk-based pricing and assessment—ultimately enabling portfolio managers to choose investments based upon fundamentals as well as market dynamics. During the course, the instructor—a former senior executive, board member and CRO of a large, emerging markets, publicly-listed banking group—will also endeavor to offer his experience in developing CPM techniques to fit the emerging markets landscape. This would include discussions of how the CPM framework can be developed in lieu of a complete systems architecture, when credit reference and credit rating bureaus are not available and when data and past history on customers is sparse. Primary focus is also given to best-practice and to quantitative methods that are actually demonstrated to work in practice across many of the 40 countries and 4 continents in which instructor has direct experience. In addition, participants will learn:
- The elements necessary for internally developing and testing a ratings and scoring system that can be used with various exposure types—including privately listed, small to medium-sized enterprises (SMEs)
- How to integrate a quantitative, credit scoring platform with a qualitative ratings system in Basel II/III-compliance fashion
- How to develop the necessary CPM databases for estimating and validating scoring models and risk components, such as Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD)
- Portfolio-level measures of risk, including measures of concentration using Copulae, tail dependence and other advanced measures
- How to use Monte Carlo simulation and basic programming to develop and test scoring models and to model portfolio dependence, persistence, dynamics and stress-testing
- How to use this integrated system in both origination and portfolio management activities
- How to assess Expected Loss (EL) for provisioning and Unexpected Loss (UL) for capital allocation—both on a standalone and portfolio basis
- How to create a Risk-Adjusted-Performance-Measurement (RAPM, aka RAROC) system
As well as useful techniques related to specific topics, such as:
- Strategies for extracting important information from problem accounts
- How to explain quantitative model results to qualitative-oriented directors and shareholders
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Day 1
Overview of Credit Portfolio Management
What Credit Portfolio Management boils down to
The Traditional (Commercial Bank) Credit Portfolio model- Buy and hold strategy
- Static risk (loss) distribution
- Lack of Risk-Adjusted Performance
- Expected Loss (EL) and Unexpected Loss (UL) can be underestimated
- The All-In-Spread (AIS) of traditional lending
The Credit Portfolio Model- Breaking the Credit Process into components
- Alternative credit strategies
- Selling Exposures
- Establishing SPVs
- Use of Credit Derivatives and Structures
- Digital and other opportunities to derive revenue
- The Role of Risk Management
- The AIS under CPRM
The Credit ALCO and other key parties- Hurdles in emerging markets
- The Psychology behind implementing CPM and getting buy-in
- Helping Management Make Strategic Choices
- The primary tool for strategic choice: Risk-Adjusted Performance Management (RAPM)
Day 2
Setting up a CPRM Function
Risk Adjusted Performance Measurement (RAPM)- RAPM Components
- RaROC vs. RaRORAC
- Risk Contribution
- How RAPM helps us select exposures
- How RAPM helps us manage exposures
- Developing a RAPM Model
- RAPM Examples in Spreadsheets
- Determining Economic Capital
- Setting Internal Transfer Prices and External Prices
- Using RAPM to et the risk appetite
Summary and Best-Practice on RAPM
Developing Analytics to Support RAPM- Portfolio dynamics
- Valuation
- Migration
- Value-at-Risk and default
- Economic and Regulatory Capital
- Risk Components
The Basel Back drop- Basel I, II and III compared
- The Risk Components under Basel Rules
- Dynamics of Risk components (in spreadsheets)
- Basel at the Portfolio Level
Portfolio Dynamics
PD estimation- Why we do not like statistical obligor PDs in retail
- Segmentation
- Vintage analysis
- Delinquency status
- Developing a PD model
- Smoothing
Loss given default measurement (LGD)- Various loss model techniques
- Workout LGDs
- Actuarial LGDs
- Statistically based LGD
- Portfolio level (risk pool) LGDs
Exposure at default (EAD)- EAD modeling techniques
- ASRF-based EAD
- Statistically based EAD
Day 3
Risk Component Backtesting- Probability of Default (PD) backtesting
- Hosmer/Lemeshow
- Binomial Tests
- Brier Score
- Other tests
- Problems with the Central Limit Theorem in practice
- Loss Given Default (LGD) backtesting
- Choosing a low operational risk LGD estimation method
- Backtesting and confidence intervals
Developing the Retail and SME scoring models- Public companies
- Dealing with private, unaudited companies
- Structural models: Black-Scholes-Merton
- Public firm variants
- Private firm variants
- What will like work in African markets
- Excel exercises
- Statistical models
- Actuarial Models
- Excel exercises
Expected Loss (EL) and Unexpected Loss (UL) for Single exposures- Provisioning and Basel II-related issues
- Economic capital allocation
Using your risk model for capital allocation
Developing a Risk-adjusted-performance measurement (RAPM) system- Using EL and UL
- Excel Exercises
Day 4
EL and UL for Portfolios- Correlation and joint default estimation
- Obtaining a Credit Value-at-Risk (CreditVaR)
- Setting Economic Capital
- Excel Exercises
Portfolio stress testing, provisioning and recapitalisation- Defining stress tests
- Distinguishing scenarios and sensitivity analysis
- Interpreting results
- Articulating results internally and to investors and regulators
- Incorporating in the Internal Capital Adequacy Assessment Process (ICAAP)
Concluding Remarks -
Our Tailored Learning Offering
Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company’s exact requirements? If you’d like to do either of these, we can bring this course to your company’s office. You could even save up to 50% on the cost of sending delegates to a public course and dramatically increase your ROI.
If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.
We produce learning solutions that are completely unique to your business. We’ll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.
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We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.
We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:
- Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
- Track record – 10/10 of the world’s largest banks have chosen us as there training provider and we have delivered training across the largest banks and have trained over 25,000 professionals.
- Knowledge – our 100+ strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
- Reliability – if we promise it, we deliver it. We have delivered over 25,000 events both in person and online, using simultaneous translation to delegates from over 99 countries.
- Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 4.2/5 on service and 4.7/5 on Coursecheck
Instructor
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Maurice Ewing
Biography
Maurice holds a PhD, is an experienced executive, Chief Risk Officer (CRO), board member and consultant. He is the founder and CEO of Conquer Risk, a consulting firm that conducts investment due diligence of corporates and banks, specialising in emerging and frontier markets. Until recently, the instructor held the group CRO role for one of Africa's largest banks for which he developed the entire enterprise risk management (ERM) and risk oversight functions, sitting on the board and managing over 400 people within 10 departments, spanning 5 countries. He is a sought after speaker on risk oversight, strategy and corporate governance but has also trained numerous management teams in predictive analytics, market intelligence acquisition and internal model development for Basel II & Basel III purposes. He previously taught Executive-MBAs on the full-time finance faculty of the Kellogg-HKUST business program and, before that, worked as a regulator for both the New York Federal Reserve and the Board of Governors. A former dissertation advisee of Ben Bernanke, the US Federal Reserve Chairman, the instructor holds a PhD and MA in economics from Princeton University and a BA in Economics and Mathematics from Northwestern University. He was recently selected out of over 50,000 candidates to the prestigious board of the Professional Risk Manager's International Association as a Subject Matter Expert on ERM. He is also a certified Financial Risk Manager (FRM) with the Global Association of Risk Professionals.
Venue
London
