KEY POINTS / QUESTIONS ANSWERED:
* Which rating models are appropriate for regulations such as Basel
III or IFRS 9? * How to gather, structure and maintain the data
needed for credit ratings of corporate entities? * How to handle data
availability and data quality challenges in practice? * Which
statistical tools and rating model development practices are robust
and proven? * Which innovative methods might help the bank to obtain
forward-looking risk assessments? * How to create a rating system
that is useful for risk-adjusted pricing in long-term corporate
customer-bank relationships? _THE PURPOSE OF THIS SEMINAR IS TO
INTRODUCE YOU TO THE KEY METHODOLOGIES TO DESIGN, DEVELOP, CALIBRATE
AND VALIDATE CREDIT RATING SYSTEMS FOR CORPORATE CUSTOMERS. _
We start with an overview and discussion of the three main types of
CREDIT RATING SYSTEMS: the Early Warning SYSTEMS, the Long-term
CORPORATE (issuer) RATINGS AND 'MASTER SCALE'-based RATING SYSTEMS.
Particular focus is put on the uses and misuses of each of the three
system types, including their applicability to meet regulatory
requirements, such as Basel III or IFRS 9, and their appropriateness
to address business-related objectives, such as risk-adjusted pricing
or operational risk management.
We then take a closer look at the 'Master Scale'-based RATING SYSTEMS.
'Master scales' allocate a non-overlapping range of probabilities of
default (PD) that are stable over time to each RATING CLASS. The
RATING METHODS FOR SUCH SYSTEMS NEED TO PRODUCE ACCURATE PROJECTIONS
OF THE 1-year PD based on actually observed defaults.
After this, we turn to the Early Warning SYSTEMS, which help the bank
to identify reliably upcoming defaults or substantial CREDIT RISK
INCREASES OF SPECIFIC CORPORATE CUSTOMERS ON AN ONGOING BASIS.
Finally, we look at the Long-term CORPORATE (issuer) RATINGS WHICH
EXPRESS RISK IN RELATIVE RANK ORDER (i.e. they are ordinal measures of
CREDIT RISK) and are not predictive of a specific frequency of
default.
Throughout the entire course, we revisit the topic of IFRS 9 multiple
times, highlighting the best practices in applying the different types
rating systems to comply with this new regulation. Covered topics
include the development of IFRS 9 staging criteria, the estimation of
lifetime PD and the calculation of impairment provisions.
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22/06/2018 Last update