Financial Products & Associated Risk Management

Credit Risk Measurement - Part 2

Overview

Exposure at default (EAD) and loss given default (LGD) are core components of the credit risk measures used to determine bank capital requirements (risk-weighted assets) and to manage credit risk (expected loss). This tutorial describes the fundamentals of EAD as a measure of credit risk, the calculation of EAD values, and the issues to be considered when calculating EAD. The tutorial also explains the role of loss given default (LGD) in measuring credit risk, the steps involved in calculating LGD rates, and the key factors that influence LGD values.

Objective

On completion of this tutorial, you will be able to:
- Calculate EAD for credit facilities and outline the key issues associated with EAD as a measure of credit risk
- Calculate LGD and describe the key drivers behind LGD values

Content Highlight

Topic 1: Exposure at Default (EAD)
Topic 2: Loss Given Default (LGD)

Administrative Details

Code
TERFR17005801
Venue
ePlatform
Relevant Subject
Type 10 - Providing credit rating services
Language
English
Hours
SFC:1.00, PWMA:1.00
Fees
All Member: HKD320
Chinese Securities Association of Hong Kong (HKCSA): HKD335
Non-Member: HKD480
Staff of Corporate Member: HKD320