Content How to devise a strategy for creating credit portfolios? Which levers can one use for optimisation? How to mix customer and capital market business in order to reduce credit portfolio volatility? Where do liquidity risk implications have an impact on structuring the credit portfolios? How to keep the credit portfolio risk transparent? Portfolio management tasks are dealt with in our simulation bank and prepared for practical implementation.
- Credit portfolio management fundamentals
Credit risk management within total bank management under ICAAP
Determining the equity requirements of critical credit positions
Liquidity costs and leeway of credits that are acceptable as collateral
- Processes to distinguish between fungible and illiquid credit risks
The structuring of a portfolio
Exposure at default (LTV, commitments, replacement risk)
Calculation of individual risks and diversification
Impact of granularity (regulations, risk-bearing capacity, risk calculation)
Management by limit system (case study: setting up the building blocks of a limit system)
Stress testing for securing the portfolio structure
- Optimising portfolio rentability
Combining economic and legal capital
Identifying equity-hungry positions
Equity management and practical implementation issues
Portfolio measures in the (quasi) capital market business
Measures for using credit portfolios to increase liquidity (collateral and securitisation opportunities)
Measures to prepare a fungible credit portfolio
(Credit) risk as a resource when planning/budgeting and allocating capital
- Integrating structured credit risk
Mapping basic structures: How does a waterfall work?
Where are the risks in various structures?
Lessons from the crisis: In what shape will securitisations return in the future?
Cyber*Preparation- CRM basics: separation of risks, legal framework
- Basel II credit risk rules
- Solvency and credit risk analyses: balance sheet analysis, rating, collateral
- Credit risk calculation: Credit Value at Risk (CVaR)
- Risk and customer calculation
- Credit risk instruments: fundamentals and applications
Target group- Managers and specialists from:
Financing, corporate banking
Credit risk management, controlling, credit portfolio management
Treasury, ALM and bank book management