Bridging market & credit risk: Modelling the incremental risk charge

London

11 May 2009

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Course highlights:

  • Analysing the Merton model
  • Modelling incremental risk charge
  • Intergration of market risk and credit risk
  • Modelling specific risk to calculate regulatory capital requirements for traded debt and equities
  • Using existing credit risk systems to measure IDR
  • Understanding how market risk factors impact credit quality

Course dates & venues

London 11 May 2009

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Course tutors

arrowThomas Alderweireld, Head of Portfolio Analytics, DEXIA

arrowManoj Bhaskar, Risk Manager, HSBC

arrowMoises Gerstein Alvarez, Quantitative Analyst - Global Coordinator of Credit Products, ING

arrowJohannes Rebel, Head of Market Risk, NYKREDIT BANK

Learning outcomes

By the end of the course delegates will be able to:

  • Model rating transitions by incorporating the liquidity horizon
  • Identifying an approach to calculating IRC
  • Capture the diversification benefits between market and credit risks including migration and default risks
  • Asses whether specific risk is being accurately captured by back testing
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