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Predicting Corporate Default
  • Overview
  • Objectives & Outline
  • Methodology
  • Participant Profile
  • Trainer
  • Overview
    PROGRAMME DETAILS

    DATE

    17 June 2019

    TIME

    9:00 AM – 5:00 PM

    VENUE

    Asian Banking School
    While many financial institutions face difficulties over a multitude of reasons, the major cause of serious banking problems continues to be directly related to lax credit standards for borrowers and counterparties, poor portfolio risk management or a lack of attention to changes in economic and other circumstances. This programme will explore the scope of credit standing of a bank's counterparties and the risk of default that occurs amongst various financial instruments.
    LEARNING LEVEL

    Advanced

    PROGRAMME FEE

    AICB MEMBER

    MYR

    1,500*

    / PAX

    NON-MEMBER

    MYR

    1,800*

    / PAX

    *Subject to 6% Service Tax

  • Objectives & Outline
    LEARNING OBJECTIVES
    By the end of the programme, participants will be able to:
    • Identify credit risk measurement for corporate default
    • Analyse contemporary models and applications in corporate default prediction including rating methodologies, credit scoring approaches and structural models
    • Plan and devise default prediction for corporations
    • Prepare credit risk measurement and management systems
    PROGRAMME OUTLINE

    Introduction to Credit Risk Measurement for Corporate Default
    • Identify ratings of credit rating agencies that correspond to investment and non-investment grade securities
    • Mapping historical relationship between default rates and recovery rates
    • Perform estimation of the probability of default (PD) for a company from its bond price
    • Conduct measurement activities of Exposure at Default (EAD), Recovery Rates and Loss Given Default (LGD)

    Macroeconomic Perspective
    • Mapping the impact of time horizon, economic cycle, industry and geography on external ratings
    • Review the results and explanation of the impact of ratings changes on bond and stock prices
    • Explain and compare the through-the-cycle and at-the-point approaches to score a company

    Credit Scoring Models
    • Map out several credit scoring models and the requisite qualities of accuracy, parsimony, non-triviality, feasibility, transparency and interpretability
    • Differentiate among the following quantitative methodologies for credit analysis and scoring:
      • Linear discriminant analysis
      • Parametric discrimination
      • K-nearest neighbor approach
      • Support vector machines

    Structured Approaches
    • Application of Merton model for corporate security pricing, including its assumptions, strengths and weaknesses
      • Illustrate and interpret security-holder payoffs based on the Merton model
      • Calculate the value of a firm's debt and equity and the volatility of firm value using the Merton model
      • Analyse the results and practical implications of empirical studies that use the Merton model to value debt

  • Methodology

    Instructor-led workshops with case studies

  • Participant Profile
    Credit risk personnel, finance managers, fund managers, company analysts and auditors
  • Trainer

    David Meow

    David has more than 20 years of experience in areas that include business valuation, financial markets and risks, and financial reporting. His exposures in diverse areas in the capital markets as well as being a Chartered Financial Analyst (CFA) holder and a qualified Chartered Accountant (Malaysia), allows him to offer training and consultancy services in areas like investment management and company valuation. He has provided training and consultancy services to government-related and regulatory bodies including Bank Negara Malaysia, Permodalan Nasional Berhad, Securities Commission Malaysia, Kumpulan Wang Simpanan Pekerja and Jabatan Perdana Menteri, as well as financial institutions like Maybank, CIMB, OCBC and RHB.
    He is currently associated with the Securities Commission Malaysia on several development projects and in several programmes initiated by Permodalan Nasional Berhad Institute. He is also the Lead Moderator for the capital markets with the Financial Accreditation Agency (FAA).

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