Objectives On completion of this tutorial, you will be able to:

• Identify the range of measures that banks use to estimate credit risk
• Recognize some of the issues surrounding these measures

Tutorial Overview This tutorial explains the various measures that enable banks and other institutions to estimate or measure the level of credit risk to which they are exposed. These measures include absolute currency amounts for products such as term loans and estimated currency amounts for products where credit risk varies due to market price/rate movements, in addition to risk-weighted assets (RWAs) and measures of expected loss (EL). The tutorial also outlines some of the limitations and complexities associated with these credit risk measures. Prerequisite Knowledge Credit Risk - Measurement & Capital Requirements Tutorial Level: Intermediate Tutorial Duration: 40 minutes