SPECIAL COURSE
  CREDIT RISK MANAGEMENT

 PURPOSE

To provide modern techniques for assessment and management of credit risk with emphasis on applications to the Brazilian market.

 MAIN TOPICS

. Basel agreement and Brazilian Central Bank (BCB)
. Aggregation of the portfolio and loss distribution
. The classical analysis of credit
. Discriminant, Logit and Probit analysis
. Asymmetry of information
. Credit risk Center
. Credit score and behavior score
. Criteria for model selection
. Developing credit score system
. Loss distribution decomposed per sector
. Effect of correlations and marginal impact per debtor
. Type I and type II errors
. Statistics of Kolmogorov and Smirnov
. Structure of credit area
. Events with fixed default probability
. Recurrence formula
. Fundaments and regulation
. Credit portfolio management with CreditRisk+
. Credit score history
. Interpolation and term structure of credit risk
. KMV, CreditMetrics, CreditRisk+ and CreditPortfolio View
. Risk measures
. Markets and credit risk premium
. Default modeling
. Structural modeling (KMV) and default intensity modeling
. Models for securities x corporations x consumers
. Nature of credit risk
. Other statistical methodologies
. Expected loss, unexpected loss and economic capital
. Price of debentures
. Risk premium for securities
. Statistical prediction of bankruptcy
. Variable probability of default
. Probability, distributions, and basic statistics
. Provision, limits and RAROC
. Credit ratings
. Regression with discreet dependent variables
. Linear relationships and regression
. Revision of credit
. Company risk x sovereign risk
. Selection of sample
. Legal system and bankruptcy law
. Spread based on rating
. Types of risks x credit risk
. Variables and credit score models
. Value at risk

 
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