Advanced Credit Risk Measurement and Management Seminar

Federal Reserve System Courses

Type of Participant Targeted
The Advanced Credit Risk Measurement and Management Seminar is a course designed for individuals with five or more years of experience with credit risk management. The purpose of the seminar is to provide participants with an overview of advanced credit risk measurement and management techniques from an internal management and supervisory perspective. The seminar provides supervisors with an introduction to the management and examination techniques used to evaluate the effectiveness of advanced risk measurement and management systems.


Course Overview
This one-week seminar consists of a series of lectures and group exercises intended to provide participants with an overview of the advanced risk measurement and management systems banks employ to monitor credit risk. Lectures will address the estimation and calculation of the inputs into advanced credit risk measurement systems such as probability of default and loss-given default, portfolio management techniques, and the governance necessary to employ these advanced systems. Lectures will also focus on basic methods supervisors can employ to understand and evaluate the effectiveness of banks' implementation of these advanced credit risk management systems. Group work will take the form of a case study and give participants an opportunity to practice and reinforce the techniques discussed during the lectures.

Course Objectives
At the end of the seminar, participants should have an understanding of the following:

  • The fundamental building blocks an institution must have in place before it begins developing more advanced models and techniques
  • What type and quality of data a bank needs to have
  • What each of the advanced credit risk metrics are and how they are derived
  • Basics of how to examine a bank's models
  • Fundamentals of modern portfolio theory and its practical implementation
  • Basic portfolio management exam techniques
  • What to expect from a board of directors
  • What to expect from a senior management team
  • The roles of internal and external audit and the role of loan review, including how to examine these functions
  • How advanced credit metrics can be used
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Last Update: March 07, 2019