Credit Risk Measurement and Management (2024)
CR-1-Fundamentals of Credit Risk CR-2-Governance CR-3- Credit Risk Management CR-5-Introduction to Credit Risk Modeling and Assessment CR-6-Credit Scoring and Rating CR-8-Sovereign Default Risk (Country Risk) CR-10-Credit Value at Risk CR-12-Credit Risk CR-13-Credit Derivatives CR-18-Central Clearing 2
Credit Risk
After completing this reading, you should be able to: Assess the credit risks of derivatives. Define credit valuation adjustment (CVA) and debt valuation adjustment (DVA). Calculate the probability of default using credit spreads. Describe, compare, and contrast various credit risk…
Credit Value at Risk
After completing this reading, you should be able to: Compare market risk value at risk (VaR) with credit VaR in terms of definition, time horizon, and tools for measuring them. Define and Calculate Credit VaR. Describe the use of rating…
Central Clearing 2
After completing this reading, you should be able to: Define a central counterparty (CCP) and describe the mechanics of central clearing. Explain the concept of novation under central clearing. Define netting, multilateral offset, and compression and provide examples of each….
Credit Risk Management
After completing this reading, you should be able to: Describe key elements of an effective lending or financing policy. Explain the importance and challenges of setting exposure and concentration limits. Describe the scope and allocation processes of a bank’s credit…
Credit Derivatives
After completing this reading, you should be able to: Describe a credit derivative credit default swap (CDS) total return swap and collateralized debt obligation (CDO). Explain how to account for credit risk exposure in valuing a CDS. Identify the default…
Sovereign Default Risk
After completing this reading, you should be able to: Identify and explain the different sources of country risk. Evaluate the methods for measuring country risk and discuss the limitations of using those methods. Compare and contrast foreign currency defaults and…
Current Issues in Financial Markets
1. Review of the Federal Reserve’s Supervision and Regulation of Silicon Valley Bank 2. The Credit Suisse CoCo Wipeout: Facts, Misperceptions, and Lessons for Financial Regulation. 3. Artificial Intelligence and Bank Supervision 4. Financial Risk Management and Explainable, Trustworthy, Responsible…
Climate-related Risk Drivers and their Transmission Channels
After completing this reading, you should be able to: Describe climate-related risk drivers and explain how those drivers give rise to different types of risks for banks. Compare physical and transition risk drivers related to climate change. Assess the potential…
The Credit Suisse CoCo Wipeout: Facts, Misperceptions, and Lessons for Financial Regulation
After completing this reading, you should be able to: Describe the features and mechanics of contingent convertible bonds (CoCos) and explain the rationale for banks to issue them. Explain the rescue of Credit Suisse by Swiss regulators in 2023 and…
