Kreditrisiko – måling og styring

Course description

Kurset giver dig en detaljeret viden om de forskellige metoder, der findes til at måle og styre kreditrisiko. Du lærer, hvordan de centrale kreditparametre Probability of Default, Exposure at Default, Loss Given Default og Worst Case Default Rate estimeres og anvendes til styring af risiko og beregnig af kapitalkrav. Vi gennemgår de forskellige kreditrisikostyringsmodeller såsom KMV Moody’s og CreditMetricsTM og opstiller i excel en model til måling af kreditrisiko.

Course content

– Kreditrisikomodellering
– Kapitalkrav
– Styring med kreditderivate
– KMV Moody’s
– CreditMetrics
– CreditRisk +
– Modpartsrisiko
– CVA, DVA, FVA og BCVA
– Stresstesting

The course is relevant to

– Risk Managers
– Risk Controllers
– Analytikere
– Backoffice medarbejdere
– Intern revision
– Finansielle myndigheder
– IT-medarbejdere
– Compliance
– Middle Office
– Kreditmedarbejdere
– Account Manager
– Front Office

Prerequisites

Der kræves et introducerende kendskab til kreditrisikostyring og måling.

Dates

7 Oct 2020 - 8 Oct 2020

7 Apr 2021 - 8 Apr 2021

We are currently planning future dates.

Please contact us for more information.

Instructor on this course

Jørgen Just Andresen

Jørgen Just Andresen

Jørgen Just Andresen is Managing Director of Financial Training Partner A/S, which he co-founded in 2002.

He has many years of teaching experience as a chief consultant at SimCorp’s training department, which he joined in 1996. Prior to SimCorp he worked at Danske Bank with fixed income research and fixed income sales.

Jørgen is also an external lecturer at Copenhagen Business School and was awarded teacher of the year at CBS’ education Graduate Diploma in Business Administration (Financial planing) in 2016.

He is author of the books Finansiel Risikostyring (Financial Risk Management) and Finansielle Derivater (Financial Derivatives) published by Djøf Publishing.

He holds an M.Sc. (international finance) and an HD (accounting).

Jørgen teaches Derivatives, Risk Management, Portfolio Management and Fixed Income

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