Providing insight and applications essential to the informed practitioner
Combining technical depth with real-world relevance, the programme has been designed to provide participants with a balanced overview of the credit risk market, the instruments traded and the practical application of modelling techniques.
Credit Risk Management presents an in-depth understanding of credit risk and credit related instruments, and hands on experience in using data and models to assess credit risk to value the associated derivatives.
It aims to provide a balance between developing, on one hand, a sound conceptual framework and, on the other, market understanding and insight.
World-class faculty; real-world experience
Taught by world-class faculty, the programme reflects the increasing overlap in credit research carried out by academics and practitioners. The faculty members teaching Credit Risk Management have extensive real-world experience and are academic leaders in the field who have been extensively published in leading academic and practitioner publications.
Participants will gain a detailed understanding of credit-related data, and will then consider a broad-class of default intensity models and how they relate to popular industry models such as those programmed into Bloomberg.
Case study analysis and discussion provides an understanding of the limitations of credit risk modelling and how to circumvent them. Such awareness is vital, an illustration being that the models currently used by practitioners do not take liquidity into account, despite credit risk markets being significantly affected by liquidity considerations.
- Understanding credit related data
- Understanding credit risk models and their applications in practise
- Understanding the limitations of credit risk modelling
At the end of Credit Risk Management, you will be able to:
- understand the strengths and weaknesses of the major alternative approaches to credit analysis
- apply structural models in default probability prediction and hedging
- apply the intensity approach to value credit default swaps
- understand why models may fail in times of severe market stress and illiquidity
- understand the role of correlation in basket products
- apply the market-standard approach to correlation analysis and understand its strengths and weaknesses.
Benefits to Sponsors and Employers:
Leading business school training brings solid technical expertise to your organisation.
- practical programmes bring immediate benefits: programme participants will be able to apply what they have learnt as soon as they get back to the office
- learning alongside other industry players and discussing real life business cases will enable participants to gain new insights on how to tackle challenges and problems.
The programme is designed for anyone with a professional interest in credit risk and credit derivatives. The programme will be of particular interest to:
- traders, sales, strategy and research professionals in investment banks
- risk managers in investment and commercial banks, as well as risk management consultants and advisors
- investment managers of pension funds and hedge fund managers with an interest in credit products
- regulators, compliance officers, accountants and lawyers
- investor relations specialists, corporate financiers
- investment management consultants and advisors.
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