Credit and Market Risk Management: A Value-based Approach
Course Instructors: Jean Dermine (Insead)
Area: Risk Management
This course will focus on the following topics:
- Probability of Default (PD) calibration and validation
- Loss Given Default (LGD) – What do we know about LGDs?
- Discount rate in LGDs.
- Regulatory updates regarding LGDs.
This course is targeted at Financial stability and research department of Central Banks, Ph. D. students, private sector economists, EU officials.