Credit Portfolio Management

Develop a conceptual understanding of how credit portfolio risk is measured and modelled.

The Financial Crisis demonstrated the importance of minimising the risk of concentrated and correlated exposures – a credit portfolio is not simply the sum of the individual exposures. Credit Portfolio Management (CPM) has become a key function to price portfolio risk and allocate capital at origination.

This interactive course gives participants insight into Credit Portfolio Management with practical demonstration by building CPM models during the class. The course will equip participants to:

Understand how risk drivers interact within a credit portfolio and the impact of default correlation.
Understand how exposures within a portfolio are measured and quantified
Appreciate the main approaches to modelling unexpected loss for credit portfolios, the key issues involved and the important structural decisions
Understand how Monte Carlo Simulation is used in calculating unexpected loss and the key constraints, benefits and limitations of this approach
Appreciate the different ways Credit Portfolio Management is used by different financial institutions, and the key strategic decisions to be made
Understand the different techniques available for portfolio management, and the practical issues involved in post-Financial Crisis markets

Course outline

Training can be tailored to your audience. Click on this icon to download our outline with more details on the content of the course.