Training in Derivatives
- Financial Introduction: Products and valorization.
- Derivatives Demand.
- Derivatives products.
- Recovery of derived products.
- Structures of rates and curves.
- Risks and controls on derivatives.
- Valorization and risk-option.
- Structural products.
- Predictive models in payment behavior ( people and business segment).
- Initiation and behavior scoring model construction methodologies for mass segments.
- Methodology model construction supplies down approach Basel.
- Methodology for validation of a scoring model.
- Sufficiency of supplies Backtest.
Credit risk advanced
- Database construction.
- Selection variables.
- Probability of default in year v/s lifetime.
- Calculation of LGD.
- Calculation of EAD.
- Design of origination policies.
- Introduction to the market risk administration.
- Preliminary statistics.
- Financial concepts.
- Financial risk identifications
- Risk measurement and value management
- VaR implementation.
- Regulations ( Basel and local).
- Risk management redesign.
Market risk advanced
- VaR methodological bases.
- Parametric VaR.
- Measurement alternatives
- VaR Plugins
- Beyond the VaR.
Introduction to the counterparty risk
- Introduction and definitions.
- Calculation methodology.
- Exposure simulation.
- Role of Clearing house.
- Local market challenges.
Counterparty risk advanced
- Generation of opportunity cost curves (Bootstrapping, Dual stripping).
- Valoración de métricas de riesgo de contraparte.
- Mitigation measures and their differences in counterparty risk metrics.
Evaluation of credit risk models
- Basic statistics concepts.
- Introduction to the Risk credit.
- Stage development in a scoring model.
- Credit risk management and internal models method.
- Pattern evaluation of Credit Risk Models.