CREDIT RISK ANALYSIS AND MODELING
CREDIT RISK ANALYSIS AND MODELING
Tanggal
10 – 11 Desember 2009
Jam Pelaksanaan
8.30 – 16.30
Tempat
Upper Room
Annex Building
Kompleks Wisma Nusantara
Jl. MH Thamrin No. 59 Jakarta
Pembicara / Fasilitator
Salman Taufik
He is a finance professional with years experiences since 1990 – 2005 in the area of treasury and capital market, derivative, corporate finance and planning, and risk management. He had become consultant to develop a risk management system in several financial institutions. His background in mathematical modeling will help participants to understand the credit risk models clearly and easier.
Harga
Rp. 4,500,000,- / peserta dan
Rp. 12.500.000 untuk 3 peserta dari perusahaan/institusi yang sama
Materi
DAY-1
1. Dynamic Credit Analysis
Review credit analysis process
Financial analysis
Balance-sheet and Financial statement analysis
Ratio Analysis
Cash flow analysis
Credit rating of public debt
Exercise:
- Simulating the financial analysis to see the distribution of company’s performance under input scenarios
- Using stochastic optimization and models to evaluate credit risk of corporate restructuring
2. Constructing Internal Credit Rating System
Classifying company using neural network approach (as in S&P)
Exercising Neural Network application for rating categories
Estimating probability of default (PD) using historical data
Exercising cohort and hazard analysis to construct transition matrix
Estimating PD using statistical approach
- Discrimant Analysis in Altman Model
- Logit and Probit model (Moody’s)
Mapping PD into rating categories.
Estimating PD using structural approach (merton model)
Exercise:
- Using internal credit rating for credit screening
- Predicting distress using simulation for credit analysis.
DAY-2
3. Validating a Rating System
Validating a rating system
Discrimination and calibration using CAP (Cumulative Accuracy Profile) and AR (Accuracy Ratio)
Another analytical tool ROC (Receiver Operating Characteristic)
Bootstrapping confidential intervals for the AR
Interpreting CAPS and ROCS
BRIER SCORE the overall test
Testing the calibration of rating-specific default probabilities
Validation strategy
Validating credit portfolio model
Berkowitz test
Basel II and internal rating
Assessing a given grading structure
Towards optimal grading structure
4. Portfolio of Credit Risk
Understanding Default Correlation in credit portfolio
Calculating the capital requirement in IRB
Measuring risk using VAR (Value At Risk) in credit portfolio
VAR method: Var-Covar, Historical Simulation, Montecarlo
Undiversified vs Diversified VAR
Risk Budgeting: Value at Risk with asset allocation optimization model
Stest testing capital adequacy using simulation.
Wajib diikuti oleh
Bank credit officers
Risk Management officers
Investment bankers
Bond credit analysts
Fixed income/credit traders
Fixed income/credit sales people
Fund managers
Compliance officers
Financial decision makers in corporations
Regulators
cforms contact form by delicious:days
Di akses dari kata kunci : credit portfolio training in indonesia, credit risk analysis model for mfi, credit risk model seminar 
Event lainnya :
- Credit Analysis, Monitoring and Problem Solving Credit Analysis, Monitoring and Problem Solving TANGGAL Feb 27 –...
- MARKET RISK STRESS TESTING & SCENARIO ANALYSIS MARKET RISK STRESS TESTING & SCENARIO ANALYSIS JADWAL & LOKASI...
TAG
CREDIT RISK ANALYSIS, Dynamic Credit Analysis, Portfolio of Credit Risk, Risk Management, seminar Risk management, training risk management, Validating a Rating System
Navigasi Jadwal
Diposting tgl : October 29th, 2009 | Sudah dibaca 1573 kali.
