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Portfolio Management with “R” analytics tools


The course focuses on the measurement and management at portfolio level of credit risk losses. The credit risk management practices are aligned with the latest regulatory developments for capital and provisions requirements. The course contains a short introductory presentation of the R programming language. The theoretical background is accompanied by practical examples in R.


Employees in the credit risk management, controlling, audit departments from credit institutions, non-banking financial institutions, insurance companies, middle management of these institutions or any other interested persons.


Introduction to credit risk management

  • What is Credit Risk?
  • Credit Risk Management
  • Provisions
  • Capital

Introduction to R Programming language

  • Accessing and combining data in R

Expected Loss

  • International Financial Reporting Standards
  • Lifetime Expected Loss in IFRS9
  • Lifetime Probability of Default
  • Example of Lifetime PD in R

Unexpected Loss

  • What is Correlation?
  • Single Factor Models
  • IRB Risk Weighted Assets Formula
  • Example of Capital Estimation in R


CEZAR CHIRILĂ holds a PhD in Finance with specialization in Financial Mathematics, obtained in 2013 at Frankfurt School of Finance and Management. In 2017, he has joined the Credit Suisse quant team in Switzerland, as a Senior Economic Risk Capital Modeler. From 2014 to 2017, he has coordinated the Rating models and risk parameters team, within the Strategic Risk Management department –BCR Erste Group. He participated in the projects related to stress tests, IFRS9 and the implementation of the Advanced Internal Rating Based approach (IRB) in the retail, corporate and municipality’s portfolios of the bank. In BCR he created the Credit Risk Workshop, dedicated to students in the last year of the master program from ASE, Mathematics Faculty and Polytechnic Faculty. He is Associated Professor at the Academy of Economic Studies, at the University of Bucharest and at the UAIC Iasi, where he teaches classes related to credit risk management.


22 – 23 februarie 2021, from 9 am to 5 pm

At the end of the course, participants will receive a certificate, issued by RBI (under the aegis of founding members NBR and RBA), with 14 CPD units.

For the course fee and other details please contact us by phone or e-mail.


For further details and enrolment, please contact us:

Mihaela Radu, Training Specialist

0748 886 807,