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Credit Risk under Basel II Framework
    • Definition of credit risk
    • Basel II regulatory reporting approaches;
    • The Standardized Approach (SA)
    • The Internal Rating Based Approach (IRBA);
    • The foundation internal ratings based approach (FIRB)
    • The advanced internal ratings based approach (AIRB)
    • Key credit risk attributes used in derivation of RWA
    • EAD, PD, LGD, RW & Maturity
    • Class exercise
    • Group project on development of IRB RWA calculator for credit risk