Credit Risk Under the Basel Framework Course
What will I learn?
You will build a thorough understanding of how the Basel framework measures and controls credit risk across all major asset classes. The course covers the standardized approach, foundation IRB, and advanced IRB methods, including own estimates of PD, LGD, and EAD. You will also learn how to quantify counterparty credit risk, apply CVA capital charges, and navigate the securitization hierarchy of approaches. Pillar 2 supervisory review, capital buffers, and ICAAP design are addressed in detail. Supplementary modules extend your skills into machine learning for credit scoring, climate-related credit risk, and regulatory reporting. By the end, you will be equipped to contribute directly to capital adequacy processes, model development, and regulatory submissions at a professional level.
Elevify advantages
Develop skills
- Basel Capital Calculation: Apply standardized and IRB approaches to compute risk-weighted assets accurately.
- Credit Risk Parameter Estimation: Build and validate PD, LGD, and EAD models to regulatory standards.
- Counterparty Exposure Measurement: Quantify CCR and CVA capital charges for derivatives portfolios.
- Capital Planning Integration: Design stress-tested capital plans incorporating Pillar 2 buffers and ICAAP requirements.
Suggested summary
Before starting, you can change the chapters and workload. Choose which chapter to start with. Add or remove chapters. Increase or decrease the course workload.What our students say
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