Credit Risk Modelling Masterclass

Gain insight into the management, challenges and developing areas of credit risk modelling

Credit Departments within banks have become increasingly complex driven by the demands of regulation and business practise.  The current crisis has put all modelling approaches under high levels of scrutiny. This has resulted in greater concern over attributes and approaches as well as changes to validation approaches adopted.

Generally, there has been an increased used of modelling credit risk as a risk as a result of the implementation of the Basel Accord, IFRS 9 and also the developments in the global credit markets. This course looks at the key modelling techniques that are applied and highlights these to meet the demands of these requirements.

Dr Gary van Vuuren

Quantitative Analyst, Risk Reward Consultant

Risk Reward

Gary is an international banker and risk management expert with significant experience in banks and financial institutions for over 30 years.


His most recent projects and training (for banks and financial regulators) have been in the areas of credit risk and IFRS9 model validation for banks in the EMEA regions, spanning from the UK, EU, Gulf and southern Africa markets.


His career began as a ‘super quant’ in physics where studied at the University of Natal (South Africa) completing an Honours degree in mathematics and physics, followed by achieving a Masters in astrophysics and ultimately a PhD in nuclear physics (1993).


Gary transitioned to banking and finance and risk management at Goldman Sachs in London from the Atomic Energy Commission in 1997.


He has held risk and qualificative roles for ABSA (Johannesburg) as a market risk manager, then Old Mutual Asset Managers (Cape Town) as a quantitative risk analyst. Having transferred to the UK on the Highly Skilled Migrant Program he obtained a Masters in market risk management, and a second PhD, this time in credit risk management while also earning the GARP (Global Association of Risk Professionals) Financial Risk Manager qualification by examination.


His career subsequently led him to roles in the market risk department of Standard Bank (London), as a quantitative consultant at Ernst & Young (London) and then with Merrill Lynch in product control. Between January 2006 to 2015 Gary was engaged by Fitch Ratings as Senior Director with a focus on quantitative credit risk assessment and management in financial institutions (with an emphasis on Basel regulatory accords). His principal tasks included credit risk modelling (PDs, credit loss distributions – ELs, ULs, correlations), understanding the mechanics of the Basel accords and teaching these to new graduates (and existing team members), model validation, quantitative modelling, LGD modelling (using logit models), joint probability modelling, extreme value applications, CVA analysis, procyclicality rules, expected shortfall (VaR changes), etc.


Gary was later responsible as Head of Model Validation at Aviva Investors (London) from 2015 to end 2016, and then most recently served as a private consultant working for the European Central Bank on two different regulatory rule implementation roles, one in Antwerp (2017) and another in Utrecht (2018).


He is well-known as a commercial trainer and as a lecturer at two French universities (IESEG and EDHEC) as well as several South African universities. His publications include over 90 refereed articles in international journals. Gary has been a risk management and financial modelling in excel trainer for Risk Reward Ltd (UK) since 2008.

Thumbnail
What will you learn?
  • Detailed overview of modelling in credit analysis
     
  • Credit risk model validation, model governance and regulatory expectation
     
  • Methodological example of credit risk model and calculations
     
  • Retail and corporate credit models
     
  • Applying the Basel Accord for credit modelling
     
  • Addressing the modelling challenges and uncertainties under the current crisis
Thumbnail
Who should attend?
  • Credit risk
     
  • Model risk
     
  • Risk modelling
     
  • Risk specialists
     
  • Stress testing
     
  • Internal auditors
     
  • Others with interest in credit risk modelling

*Suitable for all participants who wants to understand credit risk modelling

Sessions include
  • The role of Modelling in Credit Analysis
  • Model Governance

  • Retail Credit Models

  • Corporate Credit Models

  • Regulatory Modelling Requirements

  • Validating the Model

  • Modelling Uncertainty

  • Modelling the Future

Pricing options

We offer flexible pricing options for this course:

  • Early bird rates - save up to $500

  • Group booking rate - save over $1500

  • Subscribe to receive Risk Training updates and avoid missing out on additional savings 

Live Virtual training courses

 

Our live virtual training courses have been designed to engage and inspire you. Much more than a webinar, our approach includes:

  • Technical content compressed into 60-minute interactive sessions and spread out over two, three or four days

  • Facilitated collaboration including Q&A, interactive polling and group workshops

  • Live interaction with subject matter experts – get your questions answered in real time

  • Receive comprehensive course materials and supporting content from Risk.net to reinforce your learning

  • Stay connected with other learners and extend your network by joining our dedicated LinkedIn group for course participants

Not the course for you?

Risk Training offers a great selection of courses providing practical guidance on the latest trends, challenges and regulatory changes that span risk management, regulation and derivatives.

View all courses

E-Learning

Risk Training’s self-paced E-Learning platform offers Essentials of Operational Risk programme, plus more topics to come soon.
 

ACCESS TRAINING