Portfolio Management with “R” analytics tools

OBJECTIVES

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.

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 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

LECTURER

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.

COURSE DATES

March 14 – 15, 2024, from 9 am to 5 pm

This is an online course. We will be using the ZOOM platform.

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.