Credit Risk Modelling –

Day 1 – Standalone & Portfolio, Expected Loss, Unexpected Loss & Value at Risk, understanding the ASRFModel & IRB Capital Equation,Regulatory Capital Estimation, Supervisory Formula for securitization exposures, Modelling PD, LGD, EAD using different techniques.

Day 2 – Modelling Portfolio Credit Risk using Copulas, Estimating PD using Merton Model, Reduced form Models,Boot strapping CDS Spreads, Validation of Internal Rating systems.

Day 3 – Modelling Counter Party Credit Risk using CVA, Modelling different kinds of Exposures, Modelling of Collaterals, Wrongway Risk, Modelling DVA, FVA, KVA & MVA.