Credit Risk

Agenda Summary ï Introduction to Fundamental Credit Risk and Analysis ï Portfolio Credit Risk ï Overview of Basic Statistics ï Modelling Credit Exposure of OTC Derivative Products ï Evaluating the Credit Risk of Derivatives ï Managing Credit Risk: Securitisation and Risk Transformation ï Managing Credit Risk: Credit Derivatives and Risk Transfer ï Regulatory Capital - Requirements for Credit Risk Case Studies, Exercises and Discussions ï Spreadsheet exercises using simple portfolio credit model ï Estimation of market factor volatilities ï Analysis of a CDO in the sub-prime meltdown ï Estimation of market factor correlations ï Performing Cholesky decomposition ï Spreadsheet exercises with single name credit derivatives ï Credit risk management post credit crunch ñ a new paradigm? How will we make money in the new high cost, low leverage world?