Portfolio management with “R” analytics tools

Portfolio management with “R” analytics tools

OBJECTIVES

The course focuses on the measurement and management of losses from credit risk, at portfolio level. The management practices are aligned with the regulatory requirements for Internal Rating Based approach for capital requirements and IFRS 9 for provisions.

The course contains a structured presentation of the R programming language. The theoretical background is accompanied by the implementation of the examples in R scripts.

TARGET GROUP

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.

 CONTENT

Introduction to management of loss from credit risk at portfolio level

  • Regulatory capital based on IRB Approach
  • Provisions based on IFRS 9

Introduction to R Programming language

  • Accessing and combining data in R

Portfolio models and Risk weighted assets formula

  • Single factor models
  • Credit risk loss simulations
  • Risk weighted assets formula
  • Implementation of RWA calculations in R

Expected loss based on multiyear risk parameters

  • International Financial Reporting Standards
  • Expected Loss Estimation Stages in IFRS9
  • Multiyear Probability of default
  • Implementation of PD calculations in R

 

LECTURER

Cezar Chirilă holds a PhD in Finance with specialization in Financial Mathematics, obtained in 2013 at Frankfurt School of Finance and Management.

Starting 2017, he is a Senior Economic Risk Capital Modeler – Credit Suisse, Switzerland. From 2014 to 2017, he has coordinated the Rating Models and Risk Parameters Team – BCR Erste. He participated in the projects related to stress tests, IFRS9 and the implementation of the 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 for Academy of Economic Studies in Bucharest, where he teaches risk management at the Doctoral School of Finance and Banking – DOFIN and at the research in finance master program – CEFIN. He is also Associated Professor for the University of Bucharest, where he teaches credit risk for the Applied Mathematics Master Program.

COURSE DATES

TBA, from 9 am to 5 pm

Registration is made following the registration form.

RBI will organise the seminar on its premises, and will provide specialized lecturer, course materials and catering services during the training day.

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

CONTACT

Emilia Frunză, Training Manager

0748886834, emilia.frunza@ibr-rbi.ro

 

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