Designed for Finance Professionals
The Credit Risk Management (CRM) Program is designed to equip finance professionals with in-depth knowledge, hands-on expertise, and quantitative techniques required for managing credit risks effectively. This rigorous program bridges the gap between theoretical risk frameworks and practical, hands-on risk modeling, mirroring the workflows and modeling standards of institutional risk desks at global investment banks, asset management
and consulting firms, and other financial institutions.
What You'll Learn
This foundational module establishes comprehensive understanding of credit risk principles, frameworks, and assessment methodologies across banking, lending, and structured finance operations. Participants master fundamental credit risk components including probability of default (PD), loss given default (LGD), and exposure at default (EAD) that underpin expected loss calculations and regulatory capital requirements. Coverage examines diverse credit risk types—default risk in lending, counterparty credit risk in derivatives, settlement risk in payment systems, sovereign risk, concentration risk, and wrong-way risk—addressing how risk manifests differently across corporates, financial institutions, sovereigns, and retail borrowers. Special emphasis on structured credit products and settlement risk (Herstatt risk) addresses timing gaps creating exposures in FX transactions and mitigation through DVP/PVP mechanisms. The module integrates qualitative assessment using the Five Cs of Credit with quantitative approaches including financial ratio analysis, statistical scoring models, and structural credit models—providing balanced perspective on traditional relationship banking and modern quantitative methodologies essential for credit underwriting and portfolio monitoring.
0
Topic Name
00:00:00
Hands-On Application
This specialized module addresses counterparty credit risk (CCR) arising from derivatives, securities financing, and OTC transactions where bilateral exposures depend on market movements. Participants develop expertise in CCR measurement methodologies distinguishing current exposure (replacement cost) from potential future exposure (PFE) based on market volatility and remaining maturity, alongside expected exposure (EE) and expected positive exposure (EPE) used in regulatory capital calculations. Comprehensive coverage of Basel III/IV frameworks examines SA-CCR providing risk-sensitive exposure calculations with hedging recognition, and the Internal Models Method for sophisticated banks using VaR-style simulation. Expected credit loss components receive detailed treatment addressing how PD, LGD, and EAD manifest differently in CCR with exposure volatility and wrong-way risk considerations under IFRS 9/CECL standards. The module addresses settlement risk management through PVP systems, and culminates in practical CCR mitigation strategies including netting agreements, collateral management through CSAs, central clearing, and counterparty limit frameworks—preparing participants for derivatives middle office and credit risk functions.
0
Topic Name
00:00:00
Hands-On Application
This comprehensive module addresses operational infrastructure enabling credit risk mitigation through ISDA documentation, collateral arrangements, and margining practices. Participants gain expertise in ISDA Master Agreement structure including close-out netting provisions reducing gross to net exposures, Schedules customizing bilateral terms, and Credit Support Annexes governing collateral exchange. Coverage addresses collateral types from cash and government securities with minimal haircuts to corporate bonds and equities with larger haircuts, alongside margining mechanics including initial margin covering potential future exposure, variation margin reflecting mark-to-market movements, and thresholds/MTAs balancing efficiency with residual exposure. Participants implement collateral calculations incorporating portfolio netting, supervisory and model-based haircut methodologies, and wrong-way risk considerations. Regulatory aspects examine BCBS-IOSCO margin rules for non-centrally cleared derivatives requiring VM and IM exchange, the Standard Initial Margin Model (SIMM), and custodial segregation requirements—developing capabilities for derivatives operations and collateral management roles.
0
Topic Name
00:00:00
Hands-On Application
This specialized module introduces credit derivatives as instruments for transferring credit risk without asset transfers, used by banks for capital relief, asset managers for portfolio hedging, and hedge funds for credit trading strategies. Participants master Credit Default Swaps (CDS) where protection buyers pay periodic premiums for compensation upon credit events, examining single-name CDS and index products (CDX, iTraxx) with implementation of ISDA standard model valuation bootstrapping default curves from market spreads. Coverage addresses practical applications including regulatory capital relief, bond portfolio hedging, and capital structure arbitrage. Credit spread options introduce optionality providing asymmetric protection profiles, with pricing using adapted Black-Scholes frameworks incorporating spread volatility. The module culminates in Total Return Swaps creating synthetic leveraged exposure and Credit-Linked Notes as funded risk transfer mechanisms where investors bear credit risk through principal-contingent structures. Regulatory treatment under Basel III/IV addresses capital relief eligibility, protection provider restrictions, and significant risk transfer requirements for synthetic securitizations.
0
Topic Name
00:00:00
Hands-On Application
This regulatory-focused module addresses Basel III/IV frameworks governing credit risk mitigation (CRM) techniques and capital relief recognition. Participants master Basel-recognized CRM including funded protection through financial collateral, unfunded protection through guarantees and credit derivatives, and on-balance sheet netting—examining minimum requirements for legal enforceability, operational effectiveness, and absence of wrong-way risk. Detailed coverage addresses the Comprehensive Approach for financial collateral using supervisory haircut schedules based on collateral type, maturity mismatches, and FX mismatches, alongside own-estimates approach for IRB banks using internal VaR models. Participants implement capital calculations for collateralized exposures incorporating exposure and collateral haircuts with risk weight application to residual net exposure. Credit derivative treatment examines protection provider eligibility, asset/maturity mismatch rules, and partial hedge capital treatment. The module addresses Basel significant risk transfer criteria for capital relief, examining documentation requirements, regulatory scrutiny, and integration within optimized capital structures balancing efficiency with prudent risk management.
0
Topic Name
00:00:00
Hands-On Application
This advanced quantitative module develops expertise in probability of default modeling using statistical logistic regression for credit scoring and structural Merton models linking equity volatility to default probability. Participants implement logistic regression with binary classification frameworks, maximum likelihood estimation, scorecard construction, and model validation through discrimination metrics (ROC, Gini, KS statistics) and calibration assessment—addressing IRB regulatory requirements. The Merton structural model provides alternative PD estimation viewing default as asset value falling below debt obligations, with implementation using equity market data to calculate distance-to-default and comparison to CDS-implied PDs. Exposure calculation progresses from legacy Current Exposure Method through comprehensive SA-CCR implementation incorporating replacement cost with collateral, potential future exposure add-ons using risk-weighted notionals by asset class, supervisory deltas for offset recognition, and maturity/correlation factors. Hands-on Python implementation develops production-ready exposure engines processing transaction-level derivatives data through standardized regulatory calculations mirroring capital systems at major banks.
0
Topic Name
00:00:00
Hands-On Application
This module addresses securitization as credit risk transfer mechanism where banks package assets into marketable securities and redistribute risk through tranching structures. Participants learn securitization mechanics where originators pool homogeneous assets, transfer to bankruptcy-remote SPVs, and issue securities with claim priority determined by subordination—examining key participant roles and economic motivations including balance sheet deleveraging and regulatory capital relief. Credit enhancement mechanisms receive detailed treatment including subordination as primary risk redistribution tool, overcollateralization and interest coverage tests, reserve funds, and external guarantees—examining rating agency assessment methodologies. Market applications span residential and commercial MBS, CLOs backed by leveraged loans, and ABS across diverse collateral types. Advanced structures address synthetic securitization using credit derivatives, CDO and re-securitization with heightened capital treatment, and Basel III/IV securitization frameworks (SEC-IRBA, SEC-ERBA, SEC-SA) assigning risk weights. The module culminates in quantitative cashflow waterfall modeling implementing priority allocation sequences, coverage test triggers, and IRR calculations across scenarios—developing structured credit analytics capabilities.
0
Topic Name
00:00:00
Hands-On Application
Subscription
Pricing Plan
20,000 INR
100% Refund (No Questions Asked) within 2 hours of subscription.