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Description

Credit Risk: Measuring Exposure, Modelling and Managing the Portfolio

Move from single-counterparty analysis to portfolio-level credit risk management

  • 2 days — 14 h
  • In-person or virtual
  • Expert
  • Up to 6 participants

Reviewing exposures one file at a time says nothing about portfolio concentration or default correlation. Risk parameters are produced by a team whose assumptions are rarely challenged, and hedging decisions are taken without a shared reading of the exposure actually carried.

These two days are designed for experienced practitioners. Participants revisit the construction of risk parameters and expected loss, compare internal rating approaches with market-implied measures, examine portfolio and concentration effects, then study the instruments used to transfer and hedge credit risk.

Learning objectives

  • Break credit risk down into probability of default, exposure and loss given default
  • Compare internal rating approaches with market-implied measures
  • Assess concentration and correlation effects within a portfolio
  • Analyse instruments used to transfer and hedge credit risk
  • Interpret the results of stress tests applied to a credit portfolio

What makes this programme different

Risk parameters are recalculated on a loan portfolio provided during the session
Model outputs are discussed in terms of their assumptions and blind spots
Hedging decisions are debated on real cases of sector concentration

Programme

1Breaking Down Credit Risk

From risk parameters to expected loss

  • Probability of default, exposure at default and loss given default
  • Building expected loss and unexpected loss
  • Definition of default and quality of historical data
  • Effect of guarantees and collateral on realised loss

2Rating and Modelling

Challenging the models as much as their outputs

  • Internal rating systems and rating scales
  • Statistical methods used to build scoring models
  • Model validation and ongoing performance monitoring
  • Market-implied measures and the information carried by spreads
  • Biases and limitations of quantitative approaches

3Portfolio Risk

Looking beyond the individual counterparty

  • Concentration by counterparty, sector and geography
  • Default correlation and diversification effects
  • Risk measures applied to a credit portfolio
  • Capital allocation across business lines
  • Stress testing against macroeconomic scenarios

4Transferring and Hedging Risk

Acting on the exposure carried

  • Credit derivatives and the rationale for using them
  • Securitisation and receivables sales
  • Counterparty risk on market transactions
  • Trade-off between hedging cost and retained risk
  • Limit monitoring and reporting to committees

Who is it for

Analysts and modellers within the risk function, together with portfolio managers, structurers and credit risk controllers.

Prerequisites

Sound command of credit analysis and solid grounding in statistics and financial products.

Dates & locations

24 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.