Active credit portfolio management – diversification strategies
Analysing and pricing credit substitution business

Content

The banks‘ credit business is intertwined with capital market products and tradable instruments. Positions that have hitherto sat idle on the balance sheet are now to be actively managed and optimised. Common credit substitution products will be analysed and compared.

Learning for the real world

• Pricing structured credit products
• Combining probabilities of default, recovery rates and credit spreads
• The central role in pricing credit default swaps
• Credit Value at Risk (CVaR) calculations and their components
  
• Pricing credit substitution business (bonded loans, asset swaps, creditlinked notes, first-to-default structures, N-to-default structures, CDOs and ABS)
• Portfolio management: active credit portfolio management (ACPM), diversification strategies
• Pricing under Basel II restrictions
• Cash flow impacts on liquidity risk management
• Integration into total bank management and risk limit systems
• Developing a meaningful credit risk strategy
• Integration into ICAAP
• Current securitisation prerequisites and opportunities
• Internal value creation through securitisation planning

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 experts from the following fields:

• financing, corporate banking
• credit risk management, controlling
• credit portfolio management
• treasury, ALM and banking book management