Gestão de Risco de Crédito

Objectives

Modern credit risk methodologies are discussed and applied in practice. Theoretical concepts of default models are introduced and computer-based applications and software (Microsoft Excel and Statistical Packages) to implement the theoretical concepts are used in practice (hands-on implementation).

The course covers different approaches to determine individual probabilities of default, such as credit scoring models, rating transitions (credit migration approach), or the Merton model as an approach to default modelling based on option pricing theory. The course also covers some concepts of the banking regulation of credit risk as outlined in the Basel accords and EU banking regulation and discusses banks' internal-ratings based approaches (IRB models) and portfolio credit risk in practice.

Finally, participants become familiar with internal and external ratings or credit default swaps (CDS) and other credit derivatives.

Participation Requirements

Banking and Insurance Operations (recommended)
Financial Management (recommended)
Learning knowledge in MS Excel or Statistical Packages is useful, but not necessarily required for this course.