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Risk Modeling: Adjusting Credit Portfolio Profitability

junio 20

DESCRIPCIÓN

Este programa diseñado para que el inversionista tenga la capacidad de comparar medidas de rentabilidad.

Objetivo

El objetivo del curso es realizar el análisis de rentabilidad de una cartera de créditos incorporando los riesgos de crédito, mercado, liquidez y prepago.
Para ello se revisarán modelos de medición del riesgo de crédito, mercado, liquidez y prepago que típicamente el mercado utiliza. De esta manera el inversionista tendrá la capacidad de comparar medidas de rentabilidad como la tasa interna de retorno y el MoIC (Multiple on Invested Capital) ajustados por riesgo de la cartera de créditos a valuar.

TEMARIO

Módulos
1.Developing and Managing Operational Risk Database.
a.Improving your loss data collection.
b.Using internal and external loss data effectively.
c.Integrating scenario analysis into an operational risk management framework.
d.Developing KRIs as a key management tool.
e.Understanding your risks through a robust Risk Control Self-Assessment and Risk Mapping program.
2. State-of-the-Art Operational Risk: Derivatives and CCAR.
a.Implementing a strong change management program.
b.Developing and implementing a risk appetite framework.
c.Stress tests and CCAR.
d.Using insurance to hedge operational risks.
e.How derivatives can be used to protect financial institutions against operational risks.
f.Six sigma and quality programs to mitigate operational risk.
3.Measuring Operational Risk.
a.Using statistical distributions to measure operational risks.
b.Causal models: how your model can be used to manage risks on a day-to-day basis.
c.Running a dynamic operational risk model to estimate VaR for operational risk: setting risk limits and appetite.
d.Workshop: MBA-Style Case: Practice what you learned by resolving a real-life operational risk case in which
you will have to calculate exposures and assess operational risk impacts using the given data and propose
solutions to control risk to management and Board.
HORAS: 8 1 Sesion

Información

Fecha de inicio 20 / 06 / 2018
Pais México
Duración 2 Clases 16 Horas
Sedes
  • UP Campus Santa Fe
Horarios WORKSHOP 10:00 am a 6:00 pm
* El horario varia según el módulo
Puntos AMIB N / A
Puntos Mexder N / A
Precio USD $25,000.00 M.N. + I.V.A.