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This two-day course covers the management of credit risk in fixed-income portfolios.
This course takes participants through the analysis of risk on a stand-alone and portfolio basis. Emphasis is placed on the identification and calculation of standard risk inputs and the application of these metrics in a Value-at-Risk (VaR) style model. The program also deals with the management of counterparty credit risk that is created by any hedging products present in fixed-income (FI) portfolios. The course ends with a discussion around the management of portfolio risks using derivatives.
- Understand the analysis of stand-alone credit risk, using standard credit metrics and a VaR framework.
- Contrast and compare the alternative sources of standard metrics from historical or market-implied data.
- Discuss the benefits and risks of modeling default and recovery risks.
- Understand the importance of correlation in risk analysis.
- Judge exposure metrics and identify risks.
- Analyze stand-alone and marginal risks and make corrective decisions.
- Describe and evaluate the credit risks coming from hedging derivatives.
- Understand the process of managing portfolio risk, using the credit default swap market.
- Portfolio/asset/fund managers
- Credit/lending officers
- Investment and commercial bankers
- Fixed income professionals