Credit Portfolio Management

Learn how to take a portfolio-level approach to managing your bank’s credit risk – from allowance and limit-setting to capital adequacy, stress testing and risk appetite setting.

Given the onset of the global credit crisis, the ensuing regulatory pressure, and the growth of credit portfolio management, it is now important that you have the fundamental knowledge and concepts of credit portfolio management and economic capital. These concepts serve as the foundation for a wealth of risk management applications and cutting-edge risk management techniques, such as risk appetite setting and stress testing. This course will introduce you to these essential concepts and their varied applications and examine the landscape of industry best practices.

The Credit Portfolio Management course is taught in an interactive format. It also presents the fundamental concepts of credit portfolio management through more advanced applications, covers the history of CPM and situates it within the current regulatory environment. These essential concepts include the definition, estimation and modelling of key risk drivers-such as probability of default and loss given default (and their inherent link to risk rating systems)-and borrower correlations.

Building on these concepts, participants will learn hands-on credit portfolio modelling, its strengths and weaknesses, and its critical importance in capital adequacy and risk allocation. With these key concepts in place the workshop will turn to some of the most valuable and frequently discussed applications in allowance setting, risk appetite and limit setting, and stress testing.

Who will benefit?

Senior credit portfolio managers and risk managers who:

• Want to move their organisation towards a portfolio approach to measuring and managing credit risk.
• Are rethinking the traditional credit process and examining various credit portfolio tools to implement strategically.
• Seek intensive indoctrination into the quantitative world of portfolio management, including data, models and concepts.
• Want to understand the value proposition of an economic capital approach to credit risk and its applications.
• Want to understand the value and approach to using credit portfolio management in allowance setting, risk appetite setting, limit setting and stress testing.
• Want to take the first step towards a risk-based approach to pricing and profitability.  

For more information, please contact your representative:

Mark Heaton
Senior Regional Consultant, Europe
The Risk Management Association
27 Old Gloucester Street
London
WC1N 3AX
Tel 44 (0) 1732852225
Mob 44 (0) 7976722851
mheaton@rmahq.org