Tutorial lessons
02 Credit Risk Measurement and Management
Browse the lessons available in this tutorial category.
Lessons
Tutorial lessons
CR 1 – Fundamentals of Credit Risk
This lesson defines credit risk and its three sources, separates insolvency, default and bankruptcy, walks through the seven transaction types that create credit exposure, profiles the institutions an
CR 2 – Governance
This lesson explains how a firm organizes credit risk governance, from the three lines of defense and credit guidelines to delegated approval authority, credit committees, limits and the independence
CR 3 – Credit Risk Management
This lesson explains how a bank sets lending policy and exposure limits, classifies its credit assets, provisions for expected loss under IFRS 9, handles loss assets in a workout, analyses its loan bo
CR 4 – Capital Structure in Banks
This lesson builds economic capital for credit risk from the ground up: expected loss from PD, exposure and loss rate, standalone unexpected loss, the binomial variance of default, portfolio unexpecte
CR 5 – Introduction to Credit Risk Modeling and Assessment
This lesson covers how lenders and regulators measure credit risk, from expected loss and Basel capital ratios through judgmental, empirical and financial default models to RAROC for a single loan. Ch
CR 6 – Credit Scoring and Rating
How credit scores and credit ratings are defined, built, validated and published, from point-in-time and through-the-cycle philosophies to the scales and criticisms of the major rating agencies. Check
CR 7 – Credit Scoring and Retail Credit Risk Management
This lesson explains how retail credit risk differs from corporate credit risk, where its hidden systematic danger lies, how credit scorecards are built, used and validated with the CAP curve and accu