Certified Credit Risk Professional (CCRP): Credit Risk - Measurement, Management, and Mitigation

Introduction

Credit risk is one of the oldest and most significant forms of financial risk institutions must manage. Despite centuries of dealing with credit risk, its management remains challenging, as evidenced by frequent high-profile financial losses. This 20-hour program is designed to provide a comprehensive understanding of credit risk and the advanced techniques used in its measurement, management, and mitigation. The course will cover fundamental concepts, contemporary approaches, and future trends in credit risk management, helping participants build the expertise necessary to navigate this critical aspect of banking.

Course Objectives

By the end of this program, participants will be able to:

- Understand and apply fundamental concepts of credit risk.

- Evaluate internal and external credit ratings.

- Measure credit risk using value at risk (VaR) and other models.

- Identify and manage counterparty risk, particularly in derivative transactions.

- Utilize credit risk models recommended by the Basel Committee.

- Implement effective credit risk mitigation techniques.

- Assess capital requirements for credit risk under regulatory and economic frameworks.

Who Should Take This Course?

This course is ideal for:

- Risk management professionals in banks and financial institutions.

- Credit analysts and officers.

- Financial regulators and compliance officers.

- Investment managers and advisors.

- Banking professionals involved in lending, trading, or portfolio management.

- Anyone aspiring to specialize in credit risk management.

Program Outline

Module 1: Introduction to Credit Risk

- Definition and Importance of Credit Risk

- Types of Credit Risk: Default Risk, Counterparty Risk, Spread Risk, Settlement Risk

- Historical Perspective and Evolution of Credit Risk Management

Module 2: Credit Risk Measurement

- Key Concepts: Probability of Default, Exposure at Default, Loss Given Default

- Measuring Credit Risk for Various Instruments: Loans, Bonds, Derivatives

- Introduction to Credit VaR and its Application

- Credit Risk Models: Merton Model, Structural Models, Reduced-form Models

- Credit Portfolio Models and their Use in Risk Management

Module 3: Credit Analysis

- Overview of Credit Ratings: Internal vs. External Ratings

- Structured Approach to Credit Analysis: Purpose, Payback, Risks, and Structure

- Counterparty Analysis: Corporates, Financial Institutions, Special Purpose Entities

- Transaction Risk Analysis and Mitigation Techniques

- Case Studies on Credit Analysis

Module 4: Credit Risk Mitigation

- Overview of Credit Risk Mitigation Techniques

- Structuring Credit Exposures: Exposure Profile, Ranking, Safeguards, and Pricing

- Collateral and Subordination in Credit Risk Mitigation

- Portfolio Management Techniques: Syndication, Sub-Participation, Securitization

- Credit Derivatives and their Role in Risk Mitigation

Module 5: Regulatory Framework and Capital Allocation

- Regulatory Capital Requirements: Basel II, Basel III, and Recent Developments

- Economic Capital vs. Regulatory Capital: Differences and Implications

- Capital Allocation Strategies for Credit Risk

- Role of Rating Agencies in Credit Risk Management

- Future Trends in Credit Risk Regulation and Management

Module 6: Advanced Topics in Credit Risk

- Counterparty Credit Risk for Derivatives and Structured Products

- Stress Testing and Scenario Analysis for Credit Portfolios

- Impact of Macro-Economic Factors on Credit Risk

- Emerging Risks and Opportunities in Credit Risk Management

Module 7: Case Studies and Practical Applications

- Real-world Case Studies on Credit Risk Failures and Successes

- Group Exercises on Credit Risk Assessment and Mitigation

- Interactive Sessions on Implementing Credit Risk Models

Module 8: Future Trends and Challenges in Credit Risk

- Technological Innovations in Credit Risk Management

- Role of AI and Machine Learning in Credit Risk Analytics

- Sustainability and ESG Considerations in Credit Risk

- Preparing for Future Challenges in Credit Risk Management

Program Details

- Duration:20 hours, delivered over 4-5 days

- Delivery Mode: Online/Onsite

- Materials: Course slides, case studies, and supplementary reading materials

- Certification: Upon successful completion, participants will receive the Certified Credit Risk Professional (CCRP) certificate.

- Assessment: Continuous assessment through quizzes, case studies, and a final project.

This program ensures that participants gain a deep and practical understanding of credit risk, enabling them to effectively measure, manage, and mitigate risks in their professional roles.