Learn internal ratings and model validation from a true practitioner
Course Overview
This course provides a look at recent developments and current thinking on best practices in the diseign, use and validation of credit risk internal ratings systems. I will cover lessons learned from the credit crisis and the limitations of credit risk scoring models in market dislocation.
The course aims to equip participants not just with the theory but also the practice, including how to build these tools and how to use them. In addition, it will explicitly cover all the management issues—for example, improvements in performance that go beyond business requirements—that need to be addressed.
The course will place a strong emphasis on the participation of delegates in group discussions and group exercises.
Who will benefit?
The course will be beneficial to all credit risk professionals and to those in market risk who are involved in validating credit risk models. It will be particularly beneficial to those credit risk staff involved in model design, those who use model outputs for decision making such as pricing or loan approval, or those responsible for explaining models to regulators.
Topics Covered
- Model design – mechanistic systems or expert judgement?
- Incorporating the knowledge of credit risk practitioners in models.
- Beyond PD – issues with LGD and EAD models.
- Problems with low-default portfolios.
- Using models for pricing, loan decisioning, and profitability measurement.
- Model validation and model governance: how to satisfy the regulators.
You will be able to:
- Design models that make the best use of both statistical data and credit expert judgement.
- Build LGD and EAD models to similar standards as PD models.
- Use models effectively in credit and pricing decisions.
- Meet regulators' expectations in model design, use, and validation.
Course Intructor
Andre Horovitz is the founder of financial risk fitness. He has over 20 years of experience in the Financial Services Industry. Mr. Horovitz started his banking career at Lehman Brothers as an investment banking associate in 1988. He was responsible for pricing, developing hedging strategies, and marketing exotic interest rate derivatives. Mr. Horovitz has subsequently held senior executive positions at Oliver, Wyman & Co., Commerzbank, HVB Group (currently part of Unicredit), Erste Bank, Credit Suisse, and Nagler & Company. At Erste Bank and Credit Suisse, Mr. Horovitz held the positions of chief risk officer and was a member of the top management committees of the respective institutions.
Mr. Horovitz has been training financial professionals worldwide in financial risk management and financial engineering for over seven years. He is an active institutional trainer on the faculties of Euromoney Training, DCGardner, and The Risk Management Association (RMA). He is a frequent speaker at various risk management conferences and a contributor to various industry journals. He has held teaching assignments in financial risk management at the Technical Universities of Munich and Vienna. His areas of expertise cover all classes of financial risk management including the important link to overall institutional strategy.
Mr. Horovitz holds an Engineering Diploma in Hydraulics from The Technical University Bucharest and an M.B.A. in Finance from New York University’s Stern Business School. He is a Registered Securities Representative in New York, a Licensed Professional Engineer (PE) in New Jersey and Michigan and a Global Association of Risk Professionals certified Financial Risk Manager FRM®.
All scheduled dates for this event are listed below. If there are no dates listed we do not currently have this event scheduled.
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