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Seminar application IRRBB Audit Bank Strategy Management Course Banking Regulations in a Nutshell Basel II CRD IV: Basel III Implementation in the EU CCR and CVA Securities and Derivatives Controlling in Practice Control for Financial Institutions Credit Scoring CRR 3 / CRD 6 and Other News in Banking Regulation CRR 3 / CRD 6 in Detail CVA (Credit Valuation Adjustment) Impacts of Climate Change and their Solutions Effective Reporting ESG and Green Finance ESG Risks and their Audit Finance for Non-Financial Managers Financial Derivatives Financial Mathematics Fraud Management in Today's On-line World Fundamental Review of Trading Book Guidelines on Loan Origination and Monitoring ICAAP, ILAAP, Pilar 2 and Stress Testing IFRS 9 – Impairments under the New Standard IRB in Practice Internal Rating Based (IRB) Approach Commodity Derivatives Credit Derivatives Credit Value at Risk Creation of the Qualitative Future Scenarios GHG Emissions Measurement and Carbon Footprint Calculation Environmental Risk Measurement in Financial Institutions Credit Risk Measurement Model Risk Non-Financial Reporting According to CSRD, ESRS and GAR Option Pricing Operational Risk Operational Risk in Practice Preparation for SREP alias Supervision in Practice Rating and Scoring Risk-Based Pricing Concentration risk Liquidity Risk Weather Risk Risk appetite Assets and Liabilities Management - ALM ESG Risk Management: Executive Summary Financial Risks Management Credit Risk Management Project Risk Management Enterprise Risk Management – ERM Securitization Silicon Valley Bank Solvency II: Executive Summary Stress Testing Market Risk Interest Rate Risk in the Banking Book – IRRBB Value at Risk Workout in Banking Practice (non-retail) Rise and fall of Lehman Brothers
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:


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