Siap menyelenggarakan
Sertifikasi Kecakapan Operator Radio (SKOR)
Sertifikat dari Kemenkominfo

Credit Risk Modeling


MATERI 

1. Bank Risk Management

  • Banking Crisis
  • Role Of Banks
  • Balance Sheet Risk Management
  • Sources Of Risk
  • Risk Management Process
  • Basel II Regulation
  • Credit Risk Components
  • Credit Risk Management
  • Financial Products
  • Credit Derivatives
  • Collateralized Debt Obligations

2. Credit Scoring

  • Introduction
  • Scoring Steps
  • Score Types
  • Application Scoring
  • Behavioral Scoring
  • Performance Window
  • Characteristic Analysis
  • Expert-guided Adjustments
  • Linear Weighting
  • Least Square Regression
  • Logistic Regression
  • Discriminant Analysis
  • Determine PD
  • Setting Cutoffs
  • Scorecard Scaling
  • Power Curve (Cumulative Accuracy Profile)
  • Gini Coefficient
  • Receiver Operating Characteristic
  • Scoring Validation
  • Stability Report
  • Delinquency Report
  • Scorecard Accuracy
  • Credit Bureaus
  • Business Objective
  • Limitations

3. Credit Rating I

  • Introduction
  • Rating and Scoring Systems
  • Rating Terminology
  • Rating System Process
  • Rating Philosophy
  • External Rating Agencies
  • Rating System at Banks
  • Application and Use of Ratings
  • Limitations

4. Risk Modeling and Measurement

  • Introduction
  • Determining loss due to default/downgrade
  • Estimating PD / LGD / EAD
  • LossCalc
  • Amortization vs diffusion effect

5. KMV EDF Credit Monitor

  • Introduction
  • Measuring Probability of default
  • Loss Given Default
  • Distance to Default
  • Merton Model
  • Implied Asset Value Volatility
  • Expected Default Frequency (EDF)

6. Portfolio Model For Credit Risk

  • Introduction,
  • Measure of Portfolio Risk,
  • Concentration and Correlation, Credit Loss Distribution,
  • Credit VaR
    • Covariance redit portfolio model using beta distribution,
    • Basel II portfolio model
    • Coherent risk measure
    • Expected shortfall
    • Stress test

7. JP Morgan Credit Metrics

  • Introduction
  • Credit Rating Transition Matrix
  • Spread Curve
  • Present Value Revaluation
  • Incorporating Default Correlation
  • Usage of Monte Carlo Simulation

8. Credit Suisse Credit Risk

  • Introduction
  • Credit Risk Framework
  • Building Block in CreditRisk
  • Credit Risk Loss Distribution

9. Monte Carlo Simulation

  • Introduction
  • Random Generator
  • Probability Distribution
  • Cholesky Decomposition
  • Define Assumptions, Determine Forecast Variables
  • Calculate credit loss distribution using default mode model
  • Credit VaR vs expected shortfall

TRAINING METHOD

Presentation

Discussion

Case Study

Evaluation

FACILITIES

Training Kit

Handout

Certificate

Lunch + 2 X Coffee Break

Souvenir

Pick Up Participant

Form Pre-Registrasi

Data Materi Training

Topik Training : Credit Risk Modeling
Link
*Jumlah Peserta Estimasi Jumlah Peserta yang di ajukan
*Nama Peserta Yang Didaftarkan

Personal Data

*Nama
*Jabatan Jabatan/Divisi/Departement
*Nama Perusahaan
*Alamat Perusahaan
*Email Perusahaan
*Email Alternatif eg: gmail, yahoo, hotmail
*Telepon Kantor
Ekstensi
*Handphone
* Harus di isi

About admin2

Check Also

Peningkatan Produktifitas Sumber Daya Manusia

22 - 24 Mei 2018, The 1O1 Hotel, YogyakartaDESCRIPTION Permasalahan rendahnya produktivitas perusahaan sebagian besar ...