Credit Concentration Cycle

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The Credit Concentration Cycle is a collection of online courses covering the diverse aspects of Credit Concentration Risk Management.

This category focuses on the important topic of credit concentration management (how to identify, measure and manage credit concentration).

The collection includes a fast paced (CrashProgram) introduction to the concept of credit concentration and longer (DeepDive) courses which cover regulatory frameworks around credit concentration and how to measure name, sector and geographic concentration risks in credit portfolios.

Introduction to Credit Concentration

Visual representation of credit concentration diversification

Summary:

This course is a CrashProgram introduction to the topic of credit risk concentrations: how to identify, measure and manage excess credit exposure, an essential risk management discipline for any credit portfolio.

Content:

The course covers the following topics:

  • The concept of credit concentration, its causes and motivation for its management
  • Overview of regulatory guidance, the large exposure framework and Pillar II
  • Introduction to measurement techniques using simple or advanced concentration metrics

Course Level and Type:

Introductory Level Core Level Advanced Level
Non-Technical CrashProgram
ICC13024
Technical

Basel on Credit Concentration Risk

Visual representation of different topic of credit concentration in a portfolio

Summary:

This course is a 4 Session DeepDive into regulatory aspects around concentration risks in credit portfolios, focusing on compliance requirements of the Large Exposure Framework and the Pillar II.

Content:

The course covers the following topics:

  • The regulatory framework around credit concentration risk as captured in the BIS documentation
  • The Large Exposures Framework
  • Regulatory requirements around Pillar II name, sector and geographic concentration risk

Course Level and Type:

Introductory Level Core Level Advanced Level
Non-Technical DeepDive
CRP13026
Technical

Credit Concentration in the UK Pillar II

Visual representation of credit concentrations in a UK portfolio

Summary:

This course is a DeepDive into the UK regulatory framework around credit risk concentrations and their treatment under Pillar II. The context is provided by Consultation Paper CP1/15 which establishes benchmark Pillar II capital add-on methodologies for all main credit concentration risk categories.

Content:

It covers the following topics:

  • The UK regulatory context around credit risk concentration and how the issue is represented in requirements and regulatory guidance
  • The use of concentration metrics for ICAAP

Course Level and Type:

Introductory Level Core Level Advanced Level
Non-Technical DeepDive
CUK13028
Technical

Measuring Name Concentrations

Visual representation of diversifying name concentration in a portfolio

Summary:

This course is a DeepDive into measuring name concentrations in credit portfolios.

Content:

It covers the following topics:

  • The measurement of credit name concentrations using basic indicators and indexes such as the concentration ratio and the HHI index
  • The measurement of credit name concentrations using more advanced (risk based) indicators such as volatility and economic capital based indexes

Course Level and Type:

Introductory Level Core Level Advanced Level
Non-Technical DeepDive
CNC13010
Technical

Measuring Sector Concentrations

Visual representation of diversifying sector concentration in a portfolio

Summary:

This course is a 4 Session DeepDive into measuring sector concentrations in credit portfolios.

Content:

The course covers the following topics:

  • Measurement of credit sector concentrations using basic indicators and indexes such as the concentration ratio and the HHI index
  • Measurement of credit sector concentrations using risk based indicators such as volatility based indices and economic capital models

Course Level and Type:

Introductory Level Core Level Advanced Level
Non-Technical DeepDive
CSC13022
Technical

Credit Contagion

Summary:

Crash Course: Modelling Credit Contagion

Course Level and Type:

Introductory Level Core Level Advanced Level
Non-Technical
Technical