Sovereign Credit Analysis
-
Sovereign credit analysis is a specialized topic that blends economics, public finance, and political risk. Credit professionals seeking to understand sovereign risk dynamics need a good foundation in the risk factors that characterize sovereign risk, and the important interplay between them. Recent financial crises remind us that understanding sovereign risk is critical whether evaluating investments in sovereign bonds, or predicting how sovereign risk can impact all other sectors of the economy and related investments across the credit spectrum.
-
Learn to assess sovereign credit risk: what are the key factors that drive sovereign credit risk and sovereign default? Learn the warning signs of sovereign credit deterioration, through empirical studies and case discussion. Learn how sovereign credit risk can affect all entities operating in a given jurisdiction. Gain an understanding of sovereign data sources and limitations. Learn to assign a risk score for developed and developing market sovereigns.
-
The course is intended for all financial market professionals that have started analyzing sovereign credits or expect to start soon, and more specifically:
Credit and Fixed Income analysts
Investors and Asset Managers
Capital Market lenders
Economists
Central Bank, Government Treasury and Public Finance professionals
Regulators
-
We adjust to your needs. The “sweet spot” is 3 days, providing enough time for all topics and practice team through case studies and credit committees. We can condense or extend the program, but we always dedicate time for practice as it remains the best way to learn. Class sizes are limited to 20 analysts.
Below is an illustration for a 3-day program.
Pre-course: Online introduction to credit risk
The 5 modules and the short test require 4 – 6 hours of work depending on participants’ familiarity with the topic. The 5 modules include:
Dimensions of credit risk
Measurements of credit risk
Cycles, bubbles and crises
Funding sources and the capital structure
Credit rating agencies and credit ratings
In the classroom
Day 1
9:00 - 9:30
General introduction: Get to know you and learning objectives
9:30 - 10:30
Overview of sovereign credit risk + Break
10:30 - 12:30
Economic risk
12:30 - 1:30
Lunch
1:30 - 3:30
Institutional risk + Break
3:30 - 5:00
Set up case study: Economic and institutional risk
5:00 - 5:30
Wrap up DAY 1
Day 2
9:00 - 10:00
Case study discussion
10:00 - 11:00
Fiscal risk / Debt dynamics + Break
11:00 - 12:30
External risk
12:30 - 1:30
Lunch
1:30 - 4:00
Other risks: event risk, contingent liabilities (including banking sector) + break
4:00 - 5:00
Set up mini-case study: banking sector and state-owned enterprises
5:00 - 5:30
Wrap up DAY 2; setting up activity for DAY 3
Day 3
9:00 - 10:30
Case study discussion + Break
10:30 - 12:00
Country risk: sovereign credit risk impact on other asset classes (mini case-study, compare country risk for two corporate credits)
12:00 - 12:30
Set up comprehensive case study for credit committee
12:30 - 4:00
Lunch, case study preparation (assignment of risk score) and credit committee
4:00 - 5:00
Sovereign defaults: cases, default rate history, recovery rates, local vs foreign currency defaults
5:00 - 5:30
Wrap up course