Corporate Credit Rating Systems

Tuesday, October 10

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00

Overview of the Credit Rating Systems

  • Corporate Customers: definition and main characteristics
  • The three main types of Credit Rating Systems
  • Relationship with regulatory requirements
    • Basel III: Internal Rating-Based Approach
    • IFRS 9: Expected Loss model
  • Business process objectives
    • Using ratings for risk-adjusted pricing
    • Using ratings for operational decision-taking

The Master Scale Ratings

  • What is a Master Scale?
  • Defining the corporate entities to be rated
    • Groups of related customers
    • Corporate structures and customer account management over time
    • Default definitions
    • Data model example

12.00 - 13.00 Lunch

13.00 - 16.30 The Master Scale Ratings (continued)

  • The Balance Sheet KPIs
    • From Long List to Short List KPIs
    • Handling of incomplete data
    • Handling of outliers
    • Quantitative Model development
    • Model validation
  • Integrated Rating Models
    • Quantification of qualitative assessments
    • Bringing in account behaviour variables: pros & cons
    • Low default portfolios
    • Small sample sizes
  • Exercises and Q&A

Wednesday, October 11

09.00 - 09.15 Recap

09.15 - 12.00 Early Warning Systems

  • How to assess imminent credit risk?
    • Corporate customer behaviour variables
    • Early risk identification as an organisational challenge
    • Integrating expert opinions and quantitative rating models
    • Expected Loss vs. Probability of Default metrics
  • How to obtain forward-looking credit risk scores?
    • Generic framework for incorporation of additional observable variables
    • Case Study: improving an Early Warning system using market prices
    • Case Study: implementing the IFRS 9 Expected Loss model

12.00 - 13.00 Lunch

13.00 - 16.30 Long-term Corporate Ratings

  • Understanding ordinal risk measurement
    • Case study: Long-term ratings for corporate customers in the healthcare sector
    • Mapping internal ratings to a Rating Agency scale
  • Exercises and Q&A

Evaluation and Termination of the Seminar

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