Description

A focused course, tailored for you

Credit Risk Modelling for Investment Banking Analysts

Build the PD, LGD, and EAD models your team actually uses in credit committee submissions and Basel RWA calculations.

You can run the numbers. What stops the credit memo from landing cleanly is the architecture underneath: how the PD model was calibrated, why LGD sits where it does, whether the RWA treatment is defensible to a regulator, and how the stress scenario actually changes the credit decision. Those four things are never explained in a single place.

$199 one-time

Tailored to your situation. Access within 24 hours. 30-day money-back.

Includes a hand-built implementation playbook delivered alongside course access, generated for your specific situation.

Why this course

A credit risk intern at an investment bank is not short of data or tools. What is missing is the connective tissue: how a counterparty's financial statements translate into a PD estimate, how that PD plugs into a Basel capital calculation, and what assumptions the credit committee will question first. The gap shows up in the comments on returned memos and in the questions that come back after a model review. This course closes that gap module by module, building the full credit assessment workflow from raw financials to committee-ready output.

What you walk away with

Calibrate a PD model from financial statement inputs and explain the assumptions to a credit committee.
Calculate LGD for secured and unsecured facilities using seniority, collateral, and recovery rate data.
Apply EAD methodology to revolving and term facilities under both the standardised and internal ratings-based approaches.
Build a Basel III RWA calculation for a corporate exposure and identify where the capital floor binds.
Construct a stress scenario that changes a credit decision, rather than sitting as a footnote in the appendix.
Produce a credit memo that anticipates the four questions a committee will ask and answers them before they are asked.

The 12 modules

Module 1. From Financial Statements to Credit Signal

Start with a corporate counterparty's balance sheet, income statement, and cash flow statement. This module teaches you how to extract the five ratios that drive PD: leverage, interest coverage, cash conversion, liquidity headroom, and revenue stability. You will build a normalisation step that strips out accounting choices (capitalised leases, off-balance-sheet vehicles, IFRS 16 adjustments) so the ratios are comparable across sectors and reporting standards.

Module 2. PD Calibration: Point-in-Time vs Through-the-Cycle

Credit committees use PD estimates differently depending on whether the model is point-in-time or through-the-cycle. This module explains the mechanics of each, when each is appropriate, and how to anchor a PD estimate to an observable default rate series. You will build a PD calibration table for an infrastructure sector counterparty and document the methodology assumptions that a model validation team will check first.

Module 3. LGD Estimation for Secured and Unsecured Exposures

Loss given default varies by facility type, collateral quality, and seniority. This module builds the three-part LGD framework: recovery rate by collateral type, cure rate by sector, and time-to-recovery by jurisdiction. You will produce an LGD estimate for a secured infrastructure loan and an unsecured revolving corporate facility, with the assumption documentation that supports an internal ratings-based advanced approach submission.

Module 4. EAD Methodology: Term Loans, Revolvers, and Off-Balance-Sheet Lines

Exposure at default is not the drawn balance. This module walks through credit conversion factors, the difference between committed and uncommitted facilities, and how EAD is calculated for revolving credit lines where utilisation can change before default. You will apply the standardised approach CCF table and the internal model alternative to two real facility types, and identify which approach the Basel floor bites on.

Module 5. Basel III Capital Calculation for a Corporate Exposure

This module builds a full risk-weighted asset calculation for a corporate lending exposure under Basel III, from PD and LGD inputs through the supervisory formula to the capital requirement. You will identify where the output floor applies, how the standardised approach acts as a minimum, and what documentation the prudential regulator will request during a model review. The output is a capital attribution sheet tied to the credit memo.

Module 6. Sector-Specific Credit Drivers: Infrastructure and Commodities

Investment banks with infrastructure and commodities books need sector-specific adjustments to generic PD models. This module covers project finance credit assessment (revenue waterfall, DSCR covenant triggers, construction risk treatment), commodity trading counterparty exposure (mark-to-market replacement cost, netting agreements, margin call mechanics), and how these exposures are treated differently under the Basel standardised vs internal approaches.

Module 7. Counterparty Credit Risk: CVA and the Derivatives Book

For investment banks with derivatives exposure, credit value adjustment is a material component of risk. This module covers the CVA capital charge under Basel III, the difference between unilateral and bilateral CVA, how netting and collateral agreements reduce exposure, and the standardised CVA capital approach. You will build a CVA calculation for a plain-vanilla interest rate swap counterparty and explain the result to a credit officer.

Module 8. Credit Portfolio Analytics: Concentration and Correlation

A single-name credit assessment does not tell the committee what the position does to the book. This module introduces credit portfolio concentration metrics (single-name limits, sector concentration, country limits), asset correlation under the Basel Vasicek model, and how an incremental new exposure changes portfolio-level expected and unexpected loss. You will produce a one-page portfolio impact summary alongside the single-name credit memo.

Module 9. Stress Testing: From Macro Scenario to Credit Decision

Stress tests that sit in an appendix do not change decisions. This module shows how to build a stress scenario that connects macro assumptions (GDP contraction, rate shock, commodity price move) directly to the counterparty's financial statements, then through the PD and LGD model to a stressed capital requirement. The output is a stressed credit recommendation that the committee can act on, not a sensitivity table that reports the obvious.

Module 10. Credit Memo Architecture: What Committees Actually Read

Credit committees read the first page and the recommendation. This module teaches the structure that makes a memo credible before the committee reads past the executive summary: the key risk factors framed as questions the model answers, the rating rationale anchored to the calibrated PD, the structural protections tied to the LGD estimate, and the stress result tied to the decision. You will rewrite a returned memo using this structure and document what changed.

Module 11. Model Validation and Internal Audit Interactions

Credit models are validated by a second-line function and reviewed by internal audit. This module covers what a model validation team tests (discriminatory power, calibration, stability, documentation completeness), how to prepare model documentation that survives a validation challenge, and what internal audit looks for in the governance of a credit rating process. You will build a model documentation checklist anchored to the Basel Model Risk Management guidance.

Module 12. Regulatory Capital Reporting: From Exposure to Pillar 3 Disclosure

The output of the credit assessment process feeds regulatory capital reporting. This module traces a single corporate exposure from the credit file through the RWA calculation to the Pillar 3 disclosure, covering COREP templates, the credit risk asset quality table, and the distinction between standardised and IRB disclosures. You will produce the Pillar 3 data entry for a sample exposure and identify the three line items a prudential regulator focuses on during a supervisory review.

How this addresses your situation

Specific modules that map to what you said you are dealing with.

The returned credit memo with comments about LGD assumptions and Basel treatment maps to Modules 3, 4, and 5.

The Friday afternoon counterparty file that needs a committee-ready output by Monday maps to Modules 1, 2, and 10.

The infrastructure or commodities deal that does not fit the corporate PD template maps to Module 6.

The derivatives exposure where the credit officer wants a CVA number maps to Module 7.

What you get with this course

Twelve written modules covering the full credit assessment workflow from financial statement inputs to Pillar 3 disclosure.
Downloadable PD calibration template, LGD estimation workbook, EAD calculation sheet, and Basel RWA attribution model.
Credit memo structure template used in Modules 10 and 11.
Stress testing scenario builder that connects macro inputs to model outputs.
Hand-built implementation playbook tailored to your role, delivered alongside course access.

What you will have in hand by Day 1, Week 1, Month 1

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it.

Before and after

Before

You can run a spreadsheet model but the memo comes back with questions about methodology, assumptions, and Basel treatment that you cannot answer without going back to your senior.

After

You produce a credit memo where the PD calibration, LGD estimate, EAD methodology, and stress scenario are documented and defensible. The committee questions are answered before they are asked.

What happens if you do not address this

Credit risk methodology is learned by iteration, and the iteration loop at a bank is slow: a returned memo, a correction, another review. Without a structured grounding in PD, LGD, EAD, and Basel capital, the comments keep coming back for the same reasons. Each round costs credibility with the senior team. The gap compounds over the first 12 months of a credit risk career.

Who it is for

An analyst or intern in a credit risk function at an investment bank or diversified financial services firm who needs to go from data to defensible credit output. You are producing credit assessments, supporting model validation, or drafting credit memos for review. You understand Excel and basic finance. You want to understand the methodology layer that your team's models are built on so you can produce work that survives committee scrutiny without a round of corrections.

Who this is NOT for. Retail banking professionals focused on consumer credit scoring. Anyone looking for an introduction to financial markets rather than a working methodology for credit assessment.

How it arrives

Text-based course in the Art of Service learning environment, plus downloadable templates and worked examples for every module, plus the hand-built implementation playbook delivered alongside course access.

Time investment. Each module takes 30-45 minutes to read and apply to the downloadable template. The full course is designed to be worked through over two weeks alongside a live deal or assessment.

Why $199 is the right number

University finance courses cover theory. CFA curriculum covers valuation. Neither teaches you how to structure the credit memo that goes to committee next Monday. In-house training at a bank is deal-specific and inconsistent. This course covers the methodology layer in the order you need it, anchored to the artefacts your team actually produces.

FAQ

Is this relevant to infrastructure and commodities finance, not just vanilla corporate lending?

Yes. Module 6 covers sector-specific credit drivers for infrastructure (DSCR, project finance waterfall, construction risk) and commodities (mark-to-market exposure, netting, margin mechanics). The PD and LGD modules use examples from both sectors.

Do I need to know Basel III already?

No. Module 5 builds the Basel III RWA calculation from scratch, starting with the PD and LGD inputs from the earlier modules. You do not need prior Basel knowledge, but you do need to be comfortable reading a balance sheet.

What is the implementation playbook?

It is a hand-built document specific to your role and firm context. It covers how to apply the course methodology to the deal types and reporting requirements you are working with. It is delivered alongside course access within 24 hours of purchase.

How do I get the course?

Reply with any questions or purchase directly. Access and the playbook are provisioned within 24 hours.

30-day money-back guarantee. If after a week of working through the materials this is not what you needed, reply to the receipt email and a full refund is processed. No questions, no forms.

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it.