MASTERING PROBABILITY OF DEFAULT CREDIT RISK MODELLING R AND EXCEL

Master the working knowledge of PD models and create customised analysis

18 – 19 July 2019
Sheraton Imperial Kuala Lumpur

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OVERVIEW

The course will provide attendees with detailed tuition on probability of default credit modelling from empirical, theoretical and applied perspectives. A hands-on perspective is followed by providing a toolkit to be directly used on a day-by-day basis. In this regards, R is open source statistical software used throughout the journey. Indeed, this tool is used by major financial institutions as well as smaller companies due to its flexibility and extreme versatility. Furthermore, examples are illustrated in Excel for easy understanding and to be beneficial for those who use Excel.

KEY  TAKEAWAYS

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.

TARGET MARKET

Anyone who is involved in building credit risk models or is responsible for monitoring the behavior and performance of credit risk models.

Risk Managers

Credit Risk Modellers

Quantitative Analysts

Statistical Analysts

Risk Analysts

Model Development Managers

Credit Risk Model Validators

A-17-10 Tower A
Menara UOA Bangsar
No. 5 Jalan Bangsar Utama 1,
59000, Kuala Lumpur