PURPOSE

To provide modern techniques for evaluation of credit risk and management of credit portfolio with emphasis on application of CreditRisk+ model.

 MAIN TOPICS

. Aggregation of portfolio and convolution
. Application of CreditRisk+
. Economic capital
. Distribution with decomposition per sector
. Distribution of losses with fixed default rate
. Distribution of default
. Effect of correlations
. Systemic effects
. Frequency of default
. Management of credit portfolio
. Marginal impact per debtor
. Uncertainty of default rate
. KMV x CreditMetrics x CreditRisk+ x CreditPortfolioView
. Modeling of default
. Nature of credit risk
. Expected and unexpected loss
. Statistical prediction of bankruptcy
. Real and neutral probability to risk
. Provisioning and limits
. RAROC
. Default rate (PD) and recovery rate (PDD)
. Volatility of default rate