I – Key principles of Basel II
- Overview, general points and key issues
- Types of Basel risk factors
- The three pillars
- Methods
- Basic concepts: Basel II default, PD, LGD, EAD, and expected and unexpected losses
- Recognition criteria for internal models: rating scales, depth of statistics, back-testing and use tests
II – Basel II and credit risk
- Recap and definition of counterparty risk
- Changes introduced by the new regulations
- Understanding methods and rating agencies
- Managing credit risk: hedging techniques
- Basel parameters and collateral: classification
Exercises: Basel portfolio allocation
III – Modelling credit risk
- Standard methods
- Advanced methods
- Key existing models: CreditMetrics and Km
Exercises: calculating Basel parameters in relation to a real case
Conclusion: Basel II and the crisis
