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CCP Advanced-Advanced Credit Risk Management

  • A
    by admin
  • Course level: Expert
  • Share:
  • Categories KASNEB
  • Duration 3m
  • Total Enrolled 8
  • Last Update March 24, 2022

Description

UNIT DESCRIPTION

This paper is intended to equip the candidate with knowledge, skills and attitudes that will enable him/her to evaluate and manage credit portfolio risk using the proven tools and methods and advise management regarding optimal credit portfolio and credit risk diversification.

LEARNING OUTCOMES

A candidate who passes this paper should be able to:

  • Apply the principles of credit portfolio risk management in identification, measurement and management of major credit portfolio risks
  • Relate firm risks to portfolio risks and capital adequacy.
  • Mitigate credit exposure using various securities in covering credit obligations exposure.
  • Advise the management regarding the optimal lending, product-wise, for a profitable credit portfolio (Credit portfolio risk vs. Return).
  • Employ risk diversification, trading of credit assets and credit derivatives in mitigating credit portfolio risk.
  • Establish and implement the organization’s overall credit risk management plan.

What Will I Learn?

  • This paper is intended to equip the candidate with knowledge, skills and attitudes that will enable him/her to evaluate and manage credit portfolio risk using the proven tools and methods and advise management regarding optimal credit portfolio and credit risk diversification

Topics for this course

15 Lessons3m

1. Introduction to Credit Portfolio Management (CPM)?

1.1 Credit portfolio vs. Equity portfolio (Criticality of Credit Portfolio Risks) 1.2 Benefits of credit portfolio management 1.3 Role of credit portfolio management: Credit department; - veto rights, advisory or profit Centre 1.4 Portfolio management strategies - Passive Vs Active CPM 1.5 Portfolio analysis 1.6 Challenges of implementation of Active Credit portfolio management 1.7 Credit portfolio risk vs. Return
Credit Portfolio Management

2. Major Portfolio Risks?

2.1 Systematic Risks 2.2 diversifiable risks 2.3Concentration Risks 2.4Credit portfolio Beta 2.5 Measuring Credit portfolio Risk
Major Portfolio Risks

3. Credit Risk in Working Capital?

3.1 Working capital cycle (Lenders’ point of view) 3.2 Working capital vs. Fixed capital 3.3 Working capital financing 3.4 Working capital ratios 3.5 Working capital behavior 3.6 Working capital risks (Overtrading, diversion, inflation and contingencies) and their impact 3.7 Working capital risks mitigations
Credit Risk in working Capital

4. Credit Risk in Project Finance?

4.1 Overview of project finance (features and types of project finance) 4.2 Phases of projects and risks 4.3 Project credit risks 4.4 Financial study (cash flow forecasts, economic worth and credit worthiness) 4.5 Mitigating project credit risks
Credit Risk in Project Finance

5. Firm Risks to Portfolio Risks and Capital Adequacy?

5.1 Obligor probability of default (PD) and portfolio probability of default 5.2 Default risk (Firm level defaults and portfolio defaults) 5.3 Loss given default (LGD) and expected loss (EL) 5.4 Provisioning (firm level and portfolio-level) 5.5 Credit loss distribution 5.6 Economic Capital (measurement and optimisation)
Firm Risks to Portfolio Risks and Capital Adequacy

7. Credit Risk Modelling?

7.1 Introduction to Credit Portfolio Models. 7.2 Basic statistics for risk management: Volatility, correlation, VaR, Monte Carlo simulation, Copula functions in modelling default correlation. 7.3 Merton Model, Moody’s KMV, Credit Metrics, One-period Portfolio Models, Gaussian Models etc 7.4 Alternative modelling approaches: Default models and mark to market / multi-state models, Structural and reduced form models 7.5 Conditional and unconditional models 7.6 Scenario and sensitivity analysis in CPM
 Credit Risk Modelling

8. Credit Risk and the Basal Accords and Prudential Guidelines in Lending?

8.1 Regulatory framework 8.2 Basal I and its criticism 8.3 Alternative approaches for credit risk in Basal II 8.4 Risk Weighted Assets and Capital adequacy (Basal vs. Prudential Guidelines) 8.5 Criticism of Basal II 8.6 Credit risk measurement and management under Basal III 8.7 Basal III and prevention of future financial/credit crises 8.8 Managing nonperforming assets/loans under prudential guidelines (CBK) 8.9 IFRS 9 and management of accounts receivables 8.10 Towards Basel IV: Rationale and Regulatory compliance enhancement proposals
Prudential Guidelines in Lending (CBK 2013)
Basel I -III

9. Credit Portfolio Risk Mitigation?

9.1 Credit risk diversification (traditional and modern diversification) 9.2 Trading of credit assets 9.3 Credit derivatives 9.4 Credit Insurance 9.6 Best practices and principles of credit portfolio management as per the International Association of Credit Portfolio Managers (IACPM) framework
Portifolio Risk Mitigation

10. Collateral Management?

10.1 Security basics overview (need, attributes, types and pricing) 10.2 Methods of taking security and perfection of securities 10.3 Covenants (financial and nonfinancial) 10.4 Realising security 10.5 Credit risk management planning and strategy
Collateral Management

11. Credit Portfolio Management and Credit Crisis?

11.1 Road to credit crisis (role of banks, formation of credit bubbles, credit bubble explosion) 11.2 2008 Credit crisis (causes and consequences) 11.3 Lessons of the 2008 credit crisis
Credit Crunch
Credit Portfolio Management

12. Analysis of Case Studies?

12.1 Practical business scenarios on credit exposure management - entity level exposures and portfolio credit exposures and credit risk management planning
Case Studies Analysis

PAST PAPERS

Dec 2021 Exam
Pilot Paper

About the instructor

A

admin

5.00 (1 ratings)

18 Courses

144 students

KSh3,000.00

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