Basel I/II/III Retail Credit Risk Modelling Skills Training,Nairobi and Mombasa Kenya

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Various Central Banks in Africa have issued the guidance notes on Regulatory Capital Measurement and Management for the Banking System (Basel II Compliance). Accordingly, all bank and banking groups are expected to adopt the basic approaches for the computation of capital requirements for credit risk, market risk and operational risk.

Under Basel II/III, capital adequacy generally hinges around the proper estimation of Basel II/III risk parameters: PD, LGD, EAD. These parameters are used on one hand as inputs to credit portfolio models, and on the other hand, to compute regulatory capital.

Credit risk continues to constitute the greatest challenge to banks, financial services providers and regulators worldwide. The modeling of Retail credit risk therefore becomes a necessary and obligatory process for every bank. Being able to build own internal or standardized models saves organizations from unnecessarily losing millions to consultancy firms.

This course is designed to equip participants with the knowledge and techniques to enable them to build credit risk models within their organizations with minimal or no help.

Training Methodology

Ideally, you will bring your own laptop with Microsoft Excel. The training course will be interactive in nature, proactive, pragmatic, action-based, non-theoretical and non-academic. Industry-specific examples will be done as case studies. A package of detailed notes will be handed out.

Course Content

  • Overview of Credit Risk
  • The Basel II Pillars & Basel II Compliance
  • Retail versus Wholesale
  • Credit Risk Modeling
  • Probability of Default (PD)
  • Loss Given Default(LGD)
  • Exposure at Default(EAD)
  • Credit Risk Weighted Assets calculation (CAR, ICAAP)

How everything fits in

Course Objectives

After completion of the course, delegates will have sound knowledge and understanding of the various techniques for retail credit risk modeling.

In addition, participants will have a concrete understanding of not just the theory but the practical ways to properly push their Basel II/III projects with confidence and certainty.

Who Should Attend

The following professionals should find this course appealing:

  • Credit Risk Analysts
  • Quantitative Analysts
  • Bankers
  • Financial Analysts
  • Model Risk Auditors
  • Corporate & Other Finance personnel
  • Financial and Investment analysts
  • Executives and Managers
  • Professionals in financial services industry
  • Interested parties


Overview of Basel II Credit Risk Modelling and Models

The Basel II/III Audit Sheet: The Backbone

Definition of Credit Risk

Wholesale versus Retail Models

Overview of the retail portfolio

The modeling process A to Z

Pillar 1: Minimum Capital Requirements

Credit Risk Approaches to measure credit risk

The Modified Standardized Approach The Simple and Comprehensive Approaches

Credit Risk The 2 Internal Ratings-Based Approaches (IRB)

Expected and Unexpected Loss BIS


Examples of Capital Requirements

Retail PD Modeling

The Scoring Concept

PD Estimation Techniques

The LogitModel

Case Study: Building a PD and a Credit Rating Model

Retail LGD Modeling

Modeling Loss Given Default (LGD)

Estimating Recovery Rates

LGD Validation

Case Study: Building an LGD model for a particular portfolio

Retail EAD Modeling

Estimating credit conversion factors (CCF)

Risk drivers for CCF

Estimating Loan Equivalents (LEQ)

Risk drivers for LEQ

EAD Validation

Case Study: Building an EAD model for a particular portfolio


Dolphins Training & Consultants ltd

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P O Box 27859 00100 Nairobi, Kenya Tel +254-20-2211362/4/5 or 2211382 Cell+254-712-636404

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