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Credit Value at Risk

Credit Value at Risk

The seminar Credit Value at Risk (Credit VaR) is organized as an open seminar for employees from different institutions and also as an in-house seminar organized for employees of clients with tailor made requirements.

Objectives of the seminar

The seminar Credit VaR describes in detail the different approaches (models) when calculating credit VaR, including back testing and stress testing. The seminar provides an overview of methods for measuring credit risk of a portfolio of assets, such as the method of KMV Portfolio Manager, single variable and multi-factor models, CreditMetrics and Credit Risk+. Due to the fact that VaR itself is not always the relevant measure of risk, participants will also learn about sensitivity analysis and stress testing.

For whom it is intended

The seminar is intended for all who deal with the quantification of credit risk at the portfolio level.

 

Seminar Content

  1. Methodological basis - Merton's model
  2. KMV Portfolio Manager
  3. Principles of portfolio modelling
  4. Single factor and multiple factor models
  5. CreditMetrics
  6. Credit Risk+
  7. Copula function
  8. Reduced form credit risk models
  9. Comparison of various types of models
Currently no open seminar is organized. If you are interested in this topic please contact us and we will be delighted to prepare an in-house seminar for you.
 

 

In addition to the seminar Credit Value at Risk our company also offers seminars on:


Consultancy

Advanced Risk Management, s.r.o. offers consultancy services in the area of Credit Risk.