Valuation and Credit Risk Management (New York Institute of Finance)

Colleagues, the Valuation and Credit Risk Management program from NYIF is a comprehensive survey of credit risk modeling, valuation and credit risk management techniques. CPE Credits: 21.  Students should have prior experience with MS Excel, fixed income arithmetic, elementary differential calculus, and basic probability and statistics. What is credit risk?, data: defaults, recoveries, spreads and cycles, conceptual approaches to credit risk modeling: actuarial (objective) models vs 'risk-neutral' or valuation models,  Single Issuer Credit Risk: Credit Transition Models, credit transition models, commercial implementations: Credit Metrics and the rating agencies, Single Issuer Credit Risk: Structural Models, debt and equity as options on the assets of the firm, probability of default (PD) and loss given default (LGD), expected credit loss is the value of a put option, credit spreads in structural models, bond risk measures in structural models, commercial implementations: Moody's Analytics (MKMV) and Credit Grades, rational ('strategic') default in structural models: subprime mortgages and securitization; Day 2: Single Issuer Credit Risk: Reduced Form Model, extracting (risk-neutral) default probabilities from bond prices. hazard rate models of default, credit spreads in reduced form models, bond risk measures in reduced form models, default time simulation for a stochastic hazard rate,  Single Issuer Credit Derivatives - Total return swaps, Asset swaps, Credit default swaps, Digital CDS, Simple trader arithmetic for quick thinking on the trading desk; Portfolio Credit Risk: Correlated Defaults,  Correlated firm value (structural models), Correlated intensities (reduced form models), Factor models, Copula functions, Value at Risk for Credit Portfolios, large homogeneous portfolio (LHP) approximation, Transition VaR model: Credit Risk, Credit VaR by Monte Carlo: Copula Models and Factor Models, Capital Allocation for Credit Risk,VaR based risk capital, Option theoretic approach to risk capital, Regulatory Capital, RAROC based capital budgeting.

Enroll today (teams & execs welcome): https://tinyurl.com/2kzk437w 

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