Current Issues In Credit Risk
Fred Vacelet, MBA, FRM/PRM, CTM, IFQ, is an international Financial Risk Management Consultant with an expertise in Risk Management methodological frameworks. His experience spans some 25 years, advising international banks and software houses on risk management. Fred holds various degrees, including from London Business School, England, with post-graduate studies at the Technische (then West)-Berlin, Germany, and Keio, Japan, universities. His client list includes ABN Amro, Barclays, Credit Suisse, National Bank of Egypt. He is a published author on risk management and Basel Accords, and a regular speaker at international conferences. Fred writes and presents training courses and workshops on risk management and the Basel Accords.
The reactions to the 2007 crisis have amply shown that, for most people who had to react as regulators, lenders or investors, the body of crisis-fighting knowledge was picked up essentially from the last 10 years. Few people referred to the main precedent, the 1929 crisis, to pick up wisdom from precedents: it was deemed too old to be relevant. Regulators’ reactions indicated that little was done to envision a long-term way out of the crisis, whilst the bulk of the effort was spent on firefighting to save the financial system from collapse and accusations.
Credit business models have shown obsolete, but have hardly been replaced. A few methodologies and strategies need to be upgraded.
- Post-crisis credit risk regulation
- Portfolio-based credit risk modeling
- Limitation of credit risk models
- The credit derivatives market
- Credit correlations
- Shock-based paradigms versus Gaussian views
- The emergence of new forms of lending
- Seasonal issues, according to credit risk outlook
Course Level - Intermediate
Who Should Attend
Most people involved in risk management: credit officers, fixed-income investors, credit rating analysts; and more generally every person with an interest in methodologies for lending.
Why Should Attend
After the 2007 crisis, a new thinking in credit risk management was urgently required. Increasing capital requirements was far from being the complete answer. This new thinking is percolating into regulation now, progressively and slowly, but also selectively. Some banks lenders still live in a pre-2007 credit world, whilst some are exploring new ways.
In this webinar, we show, with little or no fear to be pretentious, how we see this new paradigm, and invite participants, on that basis, to build up their own ideas about what is now obsolete, what is now coming up, and what could come up next.
History of ideas in economics has shown that old paradigms, as good as they may have been in their time, can survive in an obsolete form for long, and bring about wrong strategies, wrong investments, to considerable costs to individuals and institutions. We show an antidote against the dust of old risk management thinking and submit our views on what the post-crisis risk management ideas may be.
We may not have the solution to the challenges of the 2020’s, but one thing is even surer: the methodologies based on Altman (1967), z-score and credit scoring, especially if stretched as they have become, are even less apt to address future challenges in credit risk methodologies.