During the first day, the key instruments used for modelling are explored. A wide use of the R software characterizes the course from the very beginning. In day one, the emphasis is on developing point-in-time Probability of Default (PD). An extensive interaction with R paves the way for the next day two as well. The focus of the second day is to expand the time horizon to encompass the entire lifetime.
On this, generalized linear models together with survival analysis are investigated for deriving lifetime PD curves. As during the first day, a specific attention is devoted to the so-called low default portfolios. Stress testing as well as scenario analysis accompany the attendees throughout. Case studies are explored in order to culminate the theoretical concepts into working level knowledge. A constant attention to a forward looking perspective is the primary focus of the journey.
- Working-level knowledge of PD scorecard modelling
- Acquire corresponding hands-on R software development & Excel
- Working knowledge of lifetime PD modelling based on generalised linear modelling (GLM)
- Survival analysis based on R implementation capability
- Detailed understanding of key validation PD scorecard and lifetime statistics and procedures
- Successful understanding of PD projections and stress under alternative macroeconomic scenarios
- Develop alternative models for low default portfolios
- Use new and advanced techniques for improved credit risk modelling.
Who Should Attend
» Risk Managers
» Credit Risk Modellers
» Quantitative Analysts
» Statistical Analysts
» Risk Analysts
» Model Development Managers
» Credit Risk Model Validators
+603 2721 4361
Company Registration Number (1305569-P)