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Advanced Credit Risk Measurement Training Course

Introduction

Empower financial professionals to master the complexities of modern credit risk assessment with our comprehensive Advanced Credit Risk Measurement Training Course. This program equips you with the essential knowledge and skills to quantify and measure credit risk using cutting-edge techniques, including Value at Risk (VaR) and other advanced metrics. Mastering advanced credit risk measurement is increasingly vital for institutions seeking to optimize their risk management strategies, comply with regulatory requirements, and make informed decisions in today's volatile financial landscape. Our advanced credit risk analysis training course offers in-depth guidance and practical strategies for implementing these sophisticated methodologies.

This Advanced Credit Risk Measurement training course delves into key areas such as quantitative credit risk models, Value at Risk (VaR) methodologies, stress testing, credit derivatives, portfolio credit risk, and regulatory capital calculations. You will gain expertise in applying statistical and econometric techniques to measure credit risk, validating risk models, and utilizing advanced tools for risk management. Whether you are a risk manager, quantitative analyst, or portfolio manager, this Advanced Credit Risk Measurement course will provide you with the tools and knowledge to effectively quantify and manage credit risk within your organization.

Target Audience:

  • Risk Managers
  • Quantitative Analysts
  • Credit Risk Modelers
  • Portfolio Managers
  • Financial Analysts
  • Regulators
  • Auditors

Course Objectives:

  • Understand advanced quantitative credit risk models.
  • Master Value at Risk (VaR)
  • Apply stress testing techniques to credit portfolios.
  • Analyze credit derivatives and their role in risk management.
  • Measure portfolio credit risk.
  • Perform regulatory capital calculations.
  • Validate credit risk models.
  • Utilize advanced tools for risk management.

Duration

5 Days

Course content

Module 1: Quantitative Credit Risk Models

  • Understanding advanced quantitative credit risk models.
  • Exploring statistical and econometric models for credit risk.
  • Analyzing probability of default (PD) models.
  • Understanding loss given default (LGD) and exposure at default (EAD).
  • Best practices for developing and implementing quantitative credit risk models.

Module 2: Value at Risk (VaR) Methodologies

  • Mastering Value at Risk (VaR)
  • Understanding the concept and application of VaR.
  • Exploring different VaR calculation methods (historical simulation, Monte Carlo).
  • Evaluating the strengths and weaknesses of VaR.
  • Best practices for using VaR in credit risk management.

Module 3: Stress Testing

  • Applying stress testing techniques to credit portfolios.
  • Understanding the importance of stress testing in risk management.
  • Developing stress scenarios for credit portfolios.
  • Analyzing the impact of stress scenarios on credit losses.
  • Best practices for conducting and interpreting stress tests.

Module 4: Credit Derivatives

  • Analyzing credit derivatives and their role in risk management.
  • Understanding the different types of credit derivatives (CDS, CLOs).
  • Using credit derivatives for hedging and portfolio management.
  • Evaluating the risks and benefits of credit derivatives.
  • Best practices for utilizing credit derivatives in credit risk management.

Module 5: Portfolio Credit Risk

  • Measuring portfolio credit risk.
  • Understanding the concept of credit portfolio diversification.
  • Applying correlation and concentration measures.
  • Utilizing copulas and other advanced techniques for portfolio risk.
  • Best practices for managing credit risk at the portfolio level.

Module 6: Regulatory Capital Calculations

  • Performing regulatory capital calculations.
  • Understanding the Basel Accords and regulatory capital requirements.
  • Calculating capital requirements for credit risk.
  • Applying standardized and internal ratings-based (IRB) approaches.
  • Best practices for ensuring compliance with regulatory capital requirements.

Module 7: Model Validation

  • Validating credit risk models.
  • Understanding the importance of model validation.
  • Applying statistical techniques for model validation.
  • Performing backtesting and benchmarking.
  • Best practices for establishing a robust model validation framework.

Training Approach

This course will be delivered by our skilled trainers who have vast knowledge and experience as expert professionals in the fields. The course is taught in English and through a mix of theory, practical activities, group discussion and case studies. Course manuals and additional training materials will be provided to the participants upon completion of the training.

Tailor-Made Course

This course can also be tailor-made to meet organization requirement. For further inquiries, please contact us on: Email: info@skillsforafrica.org, training@skillsforafrica.org  Tel: +254 702 249 449

Training Venue

The training will be held at our Skills for Africa Training Institute Training Centre. We also offer training for a group at requested location all over the world. The course fee covers the course tuition, training materials, two break refreshments, and buffet lunch.

Visa application, travel expenses, airport transfers, dinners, accommodation, insurance, and other personal expenses are catered by the participant

Certification

Participants will be issued with Skills for Africa Training Institute certificate upon completion of this course.

Airport Pickup and Accommodation

Airport pickup and accommodation is arranged upon request. For booking contact our Training Coordinator through Email: info@skillsforafrica.org, training@skillsforafrica.org  Tel: +254 702 249 449

Terms of Payment: Unless otherwise agreed between the two parties’ payment of the course fee should be done 7 working days before commencement of the training.

Course Schedule
Dates Fees Location Apply
12/05/2025 - 16/05/2025 $4500 Dubai
19/05/2025 - 23/05/2025 $1500 Nairobi
26/05/2025 - 30/05/2025 $1500 Nairobi
02/06/2025 - 06/06/2025 $1500 Nairobi
09/06/2025 - 13/06/2025 $1750 Mombasa
16/06/2025 - 20/06/2025 $1500 Nairobi
23/06/2025 - 27/06/2025 $1500 Nairobi
07/07/2025 - 11/07/2025 $1500 Nairobi
14/07/2025 - 18/07/2025 $3500 Johannesburg
21/07/2025 - 25/07/2025 $1500 Nairobi
04/08/2025 - 08/08/2025 $1500 Nairobi
11/08/2025 - 15/08/2025 $1750 Mombasa
18/08/2025 - 22/08/2025 $1500 Nairobi
25/08/2025 - 29/08/2025 $1500 Nairobi
01/09/2025 - 05/09/2025 $1500 Nairobi
08/09/2025 - 12/09/2025 $3500 Dar es Salaam
15/09/2025 - 19/09/2025 $1500 Nairobi
22/09/2025 - 26/09/2025 $1500 Nairobi
06/10/2025 - 10/10/2025 $1500 Nairobi
13/10/2025 - 17/10/2025 $3000 Kigali
20/10/2025 - 24/10/2025 $1500 Nairobi
27/10/2025 - 31/10/2025 $1500 Nairobi
03/11/2025 - 07/11/2025 $1500 Nairobi
10/11/2025 - 14/11/2025 $1750 Mombasa
17/11/2025 - 21/11/2025 $1500 Nairobi
24/11/2025 - 28/11/2025 $1500 Nairobi
01/12/2025 - 05/12/2025 $1500 Nairobi
08/12/2025 - 12/12/2025 $1500 Nairobi
15/12/2025 - 19/12/2025 $1500 Nairobi
05/01/2026 - 09/01/2026 $1500 Nairobi
12/01/2026 - 16/01/2026 $1500 Nairobi
19/01/2026 - 23/01/2026 $1500 Nairobi
26/01/2026 - 30/01/2026 $1500 Nairobi
02/02/2026 - 06/02/2026 $1500 Nairobi
09/02/2026 - 13/02/2026 $1500 Nairobi
16/02/2026 - 20/02/2026 $1500 Nairobi
23/02/2026 - 27/02/2026 $1500 Nairobi
02/03/2026 - 06/03/2026 $1500 Nairobi
09/03/2026 - 13/03/2026 $3000 Kigali
16/03/2026 - 20/03/2026 $1500 Nairobi
23/03/2026 - 27/03/2026 $1500 Nairobi
06/04/2026 - 10/04/2026 $1500 Nairobi
13/04/2026 - 17/04/2026 $1750 Mombasa
20/04/2026 - 24/04/2026 $1500 Nairobi
04/05/2026 - 08/05/2026 $1500 Nairobi
11/05/2026 - 15/05/2026 $4500 Dubai
18/05/2026 - 22/05/2026 $1500 Nairobi
25/05/2026 - 29/05/2026 $1500 Nairobi