Credit Risk & Credit Counterparty Risk for Banking (RMfB)
Overview of the main models and tools available in SAS to compute internal models for Credit VaR and Credit Counterparty Risk:
- Panorama of available models, charachteristics and configurations for Credit Portfolio Models
- Internal Models for Counterparty Risk in SAS.
Knowledge of Banking and Credit Risk topics is highly desirable but not required; knowledge of SAS Risk Dimensions Software is required.
- Overview of SAS Credit Risk Management for Banking
- Risk Management for Banking Workflow
- Elements of the SAS Risk Management for Banking Architecture
- Web Application Interface
- Managing Analysis Inputs and Configuring Analysis Projects
- Understanding Configuration and Mapping Tables
- Configuring Analysis Project Components through the SAS Risk Dimensions
- Computing credit exposures, taking into account the effect of netting, collateral and margining, as well as the hedging effect of credit derivatives and stress test
- Computing portfolio credit risk measures using advanced portfolio credit risk models, such as actuarial models, multivariate Merton models and reduced form stochastic transition matrix models
- Configuring current exposure and potential future exposure for credit counterparty risk internal models