Description

A focused course, tailored for you

Credit Risk Modelling for Investment Bank Analysts

Build the quantitative skills to own your risk models, defend your assumptions to credit committees, and turn raw exposure data into decisions that hold under scrutiny.

A risk analyst at an investment bank spends their week producing numbers other people make decisions with. The hard moment comes when those numbers are challenged in a credit committee and the analyst has to explain not just what the model says, but why the assumptions are defensible in the current cycle, against the specific counterparty, under the stress scenario the chair just invented on the spot.

$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

Most analyst-level technical training teaches the mechanics of credit risk modelling without teaching the reasoning layer underneath it. PD curves get calculated; the rationale for the calibration period does not get built. Counterparty exposure gets aggregated; the model risk management paper that justifies the netting assumptions does not get written. APRA capital outputs get produced; the RWA sensitivity to assumption changes does not get stress-tested until the regulator asks. The result is an analyst who can run the model but cannot fully own it, and the gap becomes visible the first time the output is scrutinised.

What you walk away with

Build PD, LGD, and EAD models calibrated to the current credit cycle and able to survive back-testing challenge.
Construct stress-test scenarios from macroeconomic inputs and translate them into counterparty-level exposure sensitivities.
Write model assumption papers that meet APRA CPS 220 and internal model risk management requirements.
Produce a credit committee pack that separates the output from the methodology, so non-quant committee members can challenge at the right level.
Identify the three assumption categories most likely to attract regulator or audit scrutiny and document the rationale for each.
Calibrate RWA outputs using standardised and IRB approaches and explain the capital impact of assumption changes to a treasury audience.

The 12 modules

Module 1. The Credit Risk Analyst's Accountability Map

Maps the full chain from raw exposure data to a credit committee decision, identifying where analyst accountability sits and where it ends. Covers the distinction between model ownership, model validation, and model use. Explains why committee chairs challenge assumptions rather than outputs, and what that means for how analysts need to prepare their work. Builds the mental model the rest of the course sits on.

Module 2. PD Calibration: Cycle Choice and Its Consequences

Covers the mechanics of through-the-cycle versus point-in-time PD calibration and the regulatory and internal risk management contexts where each applies. Explains how to document the calibration period selection so it can be defended when credit conditions shift. Includes a worked example of recalibrating a PD curve when the reference data period no longer matches the forward outlook. Builds the PD assumption paper template used in module eight.

Module 3. LGD and EAD: Building the Recovery Assumption

Walks through the construction of loss given default and exposure at default estimates for a diversified corporate counterparty book. Covers the role of collateral haircuts, netting agreements, and credit support annexes in shaping LGD. Explains how to stress the recovery assumption under a distressed collateral scenario and document the sensitivity for a model risk review. Produces a worked LGD sensitivity table used in module nine.

Module 4. Counterparty Exposure Measurement: CVA and PFE

Covers credit valuation adjustment and potential future exposure measurement for derivative counterparties. Explains the inputs to a CVA calculation, where model risk sits within those inputs, and how to communicate CVA sensitivity to a front-office trader who is questioning the charge. Includes the APRA regulatory capital treatment of CVA under APS 112 and how internal model outputs need to map to the standardised floor. Builds the counterparty exposure summary template used in module ten.

Module 5. APRA Capital Framework for Credit Risk

Explains the APS 112 and APS 113 capital requirements for credit risk, covering the standardised approach, the IRB foundation approach, and the conditions under which each applies. Walks through the RWA calculation for a corporate lending book using both approaches and documents the assumption differences. Explains what APRA's supervisory oversight framework means for model assumption papers and what happens when an assumption is challenged on inspection. Produces the capital comparison table used in module eleven.

Module 6. Stress Testing Architecture: From Macro Input to Counterparty Output

Covers how to translate a macroeconomic stress scenario into counterparty-level credit deterioration. Explains the satellite model approach for mapping GDP, unemployment, and property price shocks to PD migration, and how to build that mapping without a full econometric suite. Includes the worked construction of a severe but plausible stress scenario aligned to APRA's annual stress testing guidance. Produces the scenario architecture diagram used in module twelve.

Module 7. Scenario Construction and the Narrative Test

Focuses on the reasoning layer of a stress scenario rather than the mechanics. Explains how to write a scenario narrative that makes the transmission channel from macro shock to credit loss legible to a non-quant committee member. Covers the three questions a risk committee chair typically asks about a stress scenario and how to pre-empt each in the written narrative. Builds the scenario narrative template that pairs with the quantitative output produced in module six.

Module 8. Model Assumption Papers: Structure and Sign-Off

Covers the structure of a model assumption paper that meets APRA's model risk management expectations and passes a head of risk sign-off review. Explains what goes in the methodology section versus the limitations section, how to frame known model weaknesses without creating regulatory liability, and how to version-control assumption changes when the model is recalibrated. Produces a completed assumption paper template for the PD model built in module two.

Module 9. Model Validation: What the Review Team is Looking For

Explains the model validation process from the analyst's side of the table. Covers what a validation team tests for, how to prepare documentation that makes a validation review go cleanly, and what back-testing failures mean for the ongoing use approval. Includes a worked example of responding to a validation finding on LGD assumption stability without triggering a model restriction. Builds the validation-readiness checklist used before any model is submitted for review.

Module 10. The Credit Committee Pack: Separating Output from Methodology

Covers how to structure a credit committee submission so that output, methodology, and assumptions are separated and each can be challenged independently. Explains why combining them produces the kind of challenge that derails a committee meeting. Builds a pack template for a counterparty exposure review that puts the key number on page one and the methodology defence in a structured annex. Tests the template against three common committee chair challenge patterns.

Module 11. Communicating Capital Impact to Treasury

Covers how to translate a RWA output and its assumption sensitivities into a format a treasury team can use for balance sheet planning. Explains the three questions a treasury audience cares about that a risk audience does not, and how to frame the same output to serve both. Includes a worked example of presenting the capital impact of a portfolio mix change to a treasury analyst rather than the CRO. Produces the treasury briefing format used in module twelve.

Module 12. Building Your Model Defence File

Consolidates the outputs from every prior module into a single model defence file: assumption papers, scenario narratives, validation-readiness checklists, committee pack templates, and capital communication formats. Explains how to maintain and version this file as the portfolio changes and the credit cycle moves. Covers what to do when a regulator requests model documentation on short notice. The hand-built implementation playbook delivered alongside course access extends this file to your specific book and institution type.

How this addresses your situation

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

Module 1-3: You produce PD/LGD/EAD outputs but the calibration choices are inherited from a prior cycle and you have not documented the rationale.

Module 4-6: Counterparty exposure and stress-test outputs are reviewed by senior risk officers who ask questions you cannot fully answer from the model documentation.

Module 7-9: Model assumption papers exist but were written by someone else; you are expected to maintain and defend them in validation reviews.

Module 10-12: Credit committee packs and treasury communications land, but the methodology layer is buried or absent, and challenges take the meeting off-track.

What you get with this course

Twelve text-based modules in the Art of Service learning environment.
Downloadable templates for every module: PD assumption paper, LGD sensitivity table, counterparty exposure summary, stress scenario narrative, model validation-readiness checklist, credit committee pack, and treasury briefing format.
Worked examples calibrated to a diversified corporate lending book and a derivative counterparty portfolio.
Hand-built implementation playbook delivered alongside course access, specific to your role and institution type.

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

Produces credit risk model outputs that other people make decisions with, but cannot fully defend the methodology behind them when a committee chair or regulator probes the assumptions.

After

Owns the model from calibration logic through to committee presentation, with documented assumption papers, stress-tested outputs, and communication formats that hold under scrutiny from credit committees, model validation teams, and APRA supervisors.

What happens if you do not address this

The gap between producing a model output and being able to own the methodology behind it is visible to credit committees and model validation teams. Analysts who cannot defend their assumptions at that level stay in a producing role longer than they need to. The regulatory environment for credit risk in Australian banking is tightening under APRA's model risk management guidance, and the expectation that analysts can articulate methodology is moving down from senior risk officer level.

Who it is for

Risk analysts at major investment banks and diversified financial services groups who are responsible for credit exposure measurement, counterparty risk, stress testing, or regulatory capital reporting. They have two to five years in the role, work in a team that produces outputs consumed by senior risk officers, and are expected to defend methodology as well as numbers. They have strong quantitative foundations but have not had formal training on how to structure the reasoning that sits behind model outputs or how to communicate assumptions to non-quant stakeholders.

Who this is NOT for. Retail credit risk analysts working on consumer scoring, data scientists building ML models outside a regulatory capital context, and senior risk officers who already run model validation committees. This course is designed for the analyst layer that produces committee-ready risk outputs and needs to be able to defend the methodology behind them.

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 is designed to be completed in one to two hours. The full twelve-module course can be worked through in a single focused week or spread across a month alongside regular work. The downloadable templates are built to be used immediately in the role.

Why $199 is the right number

APRA guidance documents and Basel framework papers cover the regulatory requirements but not how to apply them at analyst level or how to communicate the reasoning behind model choices. Internal training at major banks typically covers tool operation rather than methodology defence. External credit risk qualifications cover the theory at a broader level than this course, over a longer timeframe, and without the committee-ready communication formats.

FAQ

Is this relevant to both standardised and IRB banks?

Yes. Module five covers both approaches and the comparison between them. The assumption paper and committee communication templates are structured to work whether your institution uses the IRB or standardised approach for capital calculation.

Does the course cover IFRS 9 expected credit loss as well as regulatory capital?

The primary focus is regulatory capital and credit committee methodology defence. IFRS 9 ECL staging and provisioning appears in modules two and three where it intersects with PD and LGD calibration, but it is not the central topic. If ECL accounting is your primary need, the implementation playbook can be oriented that way.

How does the hand-built implementation playbook differ from the course templates?

The course templates are generic to the role. The implementation playbook is built by Gerard specifically for your institution type, book composition, and the regulatory environment you operate in. It arrives alongside course access and extends the module outputs to your actual context.

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.