.png)
Credit Risk Capital Modelling Under Basel Internal Ratings Based Approach (IRB)
Overview
2 day applied course in modelling Basel IRB parameters and generating IRB Pillar 1 credit risk capital requirement for a mixed retail and corporate loan book.
Learning Objectives
Learn how to construct probability of default (PD), loss given default (LGD) and other IRB parameter models for retail and corporate loans
Learn how to measure Internal Ratings Based (IRB) approach Pillar 1 credit risk capital requirement for a mixed retail and corporate loan book
For a capital stress test, learn how to stress PD, compute IFRS 9 expected credit loss (ECL) provisioning and track migration of loans between IFRS 9 Stages 1, 2 and 3
Who the course is for
Credit risk management, model validators and quants
Loan officers / loan portfolio management
ALM staff
Bank investors – equity and credit investors
