Credit risk management

Credit risk, (i.e. the risk of one or more of your borrowers defaulting on their obligations towards your institute), remains the primary risk category for most banks. As such it is subject to evolving practices and regulatory requirements. With non-performing loans projected to rise and defaults looming on the horizon, attention on credit risk is once again at a high point.

This course will enable participants to:

• understand the regulatory background of credit risk measurement and management;
• understand economic aspects of credit risk measurement and management as well as risk-adjusted loan pricing;
• understand regulatory expectations and best practices related to credit risk measurement.

• Overview of credit risk (sources of credit risk, types of credit risk)
• Relevant regulation on credit risk measurement and management
• Measuring credit risk in line with regulatory requirements
• Measuring credit risk from an economic point of view
• Risk-adjusted loan pricing
• Case studies

This training is coordinated by Lorenz von Below, Senior Manager at PwC Luxembourg.

Lorenz von Below is a senior manager in PwC Luxembourg’s risk management practice for the banking sector with over nine years of experience in consulting financial services providers of varying sizes and business models and with an academic background in mathematics.

His primary areas of work lie at the intersection of capital management, risk management and risk modelling, as well as the corresponding regulatory requirements He has extensive experience advising clients on risk strategy, risk appetite, and risk management as well as on quantitative finance and valuation gained at numerous institutions in Europe and beyond, including several European and Asian globally systemically important banks as well as several multilateral development banks. He holds a PhD in mathematics and a Certificate in Quantitative Finance (CQF).