The seminar Credit VaR describes in detail the different approaches (models) to calculate the credit VaR, including back and stress testing. The seminar provides an overview of methods for measuring credit risk of portfolio of assets, such as method of KMV Portfolio Manager, the single variable and multi-factor models, CreditMetrics and Credit Risk +. Due to the fact that VaR itself is not always the relevant measure of risk, participants will also learn about using sensitivity analysis and stress testing.
Tel.: 257 290 252