Credit Risk in Structured Finance and Securitization Training

About This Course

Structured finance and securitization have become central pillars of modern capital markets, enabling financial institutions to transform illiquid assets into tradeable securities, optimize balance sheets, and distribute risk across a broad investor base. However, the complexity of these instruments — and the layered credit exposures embedded within them — demands a rigorous, specialised approach to credit risk analysis that goes well beyond traditional lending assessment.

The financial crisis of 2008 exposed critical weaknesses in how structured credit products were evaluated, rated, and monitored. Since then, regulatory frameworks such as Basel III, the EU Securitisation Regulation, and risk retention rules have reshaped the landscape, placing greater responsibility on originators, sponsors, and investors to conduct thorough due diligence and maintain robust risk management practices throughout the life cycle of a transaction.

This five-day TrainingComplex programme — Credit Risk in Structured Finance and Securitization — provides a comprehensive, practitioner-oriented exploration of the entire securitization value chain, from asset pool selection and deal structuring to credit enhancement, tranche analysis, and post-issuance surveillance. Participants will engage with real-world deal structures drawn from mortgage-backed securities, auto loan ABS, CLOs, and synthetic securitizations, developing the quantitative skills and qualitative judgement needed to navigate this sophisticated market.

Whether you are a credit risk analyst, portfolio manager, treasury professional, or regulatory compliance officer, this course will sharpen your ability to identify hidden vulnerabilities, apply stress scenarios, and make well-informed decisions on structured finance exposures. TrainingComplex delivers this programme through a blend of expert-led instruction, live deal case studies, model-based workshops, and peer discussion, ensuring that every participant leaves with actionable, market-ready competencies.

Who Should Attend

• Credit Risk Analysts and Senior Credit Officers at banks and non-bank financial institutions
• Structured Finance and Capital Markets professionals involved in origination, syndication, or distribution
• Portfolio Managers and Fixed Income Analysts with exposure to ABS, MBS, or CLO instruments
• Treasury and Balance Sheet Management teams evaluating securitization as a funding tool
• Regulatory Compliance and Risk Governance officers responsible for structured product oversight
• Rating Agency Analysts and financial consultants advising on structured credit transactions
• Internal Auditors and Finance Controllers reviewing securitization-related exposures
• Central bank examiners and financial sector regulators overseeing securitization markets

Learning Objectives

• Explain the mechanics, legal structure, and economic rationale of securitization and structured finance transactions
• Identify and evaluate the credit risks embedded in different asset classes used as collateral in securitization pools
• Apply quantitative techniques including default probability modelling, loss-given-default estimation, and cash flow waterfall analysis
• Assess credit enhancement mechanisms — including overcollateralisation, reserve accounts, and subordination — and their effectiveness in protecting senior tranches
• Interpret rating agency methodologies and critically evaluate credit ratings assigned to structured finance instruments
• Conduct scenario analysis and stress testing on structured portfolios under adverse macroeconomic conditions
• Navigate the regulatory framework governing securitization, including Basel III capital treatment, risk retention rules, and disclosure requirements
• Analyse synthetic securitization structures, credit default swaps, and other credit derivative overlays
• Monitor post-issuance performance of securitization transactions using trustee reports and surveillance metrics
• Apply sound credit risk governance principles to structured finance portfolios in compliance with internal policy and external regulation

Course Modules

Requirements & Prerequisites

Participants should have a solid foundation in financial analysis, credit assessment, or capital markets, typically gained through at least three years of relevant professional experience. Familiarity with fixed income instruments, financial statements, and basic probability concepts is expected prior to attending. A background in banking, investment management, insurance, or financial regulation is beneficial, though the course does not require prior hands-on experience with securitization structures.

Training Methodology

• Live deal dissection workshops where participants analyse actual prospectus documents from MBS, CLO, and ABS transactions to identify structural features and credit risks
• Cash flow waterfall modelling exercises using spreadsheet-based tools to trace principal and interest payments through different tranche layers under base and stressed scenarios
• Rating agency simulation in which participant groups apply rating criteria to a sample asset pool and defend their conclusions in a structured peer review
• Regulatory case studies examining how Basel III capital charges and risk retention rules affect originator and investor decision-making in real transactions
• Scenario-based stress testing sessions where participants shock default rates, prepayment speeds, and recovery rates to evaluate tranche resilience
• Guided analysis of trustee and servicer reports to practise ongoing surveillance of a live securitization transaction
• Small-group deal structuring challenge in which teams propose a securitization transaction for a given asset class, select credit enhancements, and present to a simulated credit committee
• Facilitated expert-led debrief discussions after each workshop, drawing out cross-participant insights and connecting practice to theory

Organisational Benefits

• Stronger credit risk assessment capabilities applied to structured products, reducing portfolio losses and unexpected write-downs
• Improved due diligence quality on structured finance transactions, protecting the institution from mispriced or misunderstood risk
• Enhanced regulatory compliance posture under Basel III, IFRS 9, and jurisdiction-specific securitization frameworks
• Better alignment between treasury, risk, and finance teams in evaluating securitization as a balance-sheet management tool
• Increased capacity to perform independent stress testing and scenario analysis without over-reliance on external ratings
• More informed participation in capital markets transactions as originators, arrangers, or investors in structured credit
• Strengthened internal governance around structured finance approvals, exposure limits, and reporting
• A pipeline of technically advanced risk professionals capable of supporting business growth in capital markets

Where Is Credit Risk in Structured Finance and Securitization Training Offered?

This course runs in-person across: Lagos, Abuja, Nakuru, Riyadh, Kigali, Mombasa, Dubai, Zanzibar, Cape Town, Nairobi, Arusha, Accra, Dar es Salaam, Kisumu, Naivasha, Addis Ababa, Pretoria, Johannesburg, Kampala, plus Live Virtual (online) cohorts. Browse live dates for your city below.

Upcoming Schedules

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