25th – 27th November 2019 | Crimson Hotel, Philippines
The course will provide attendees a comprehensive knowledge of credit risk modelling. A hands-on approach is followed by providing both the theoretical and practical toolkit to use on a day-by-day basis. The opensource statistical software R paves the way for grasping all details required to create customized analysis.
Working-level knowledge of modelling and corresponding hands-on R software development.
Working knowledge of lifetime PD modelling based on generalised linear modelling (GLM)
and survival analysis based on R implementation capability.
Knowledge of the key EAD modelling techniques for wholesale as well as retail products.
Knowledge of LGD structural modelling technique and understanding of regression
modelling (e.g., Tobit regression).
Working-level-knowledge of staging allocation process and practical implementation.
Deep understanding of ECL computational mechanisms.
Deep grasp of ECL validation techniques.
+603 2721 4361
Menara UOA Bangsar, A-17-10 No. 5, Jalan Bangsar Utama 1, 59000 Wilayah Persekutuan, Wilayah Persekutuan Kuala Lumpur Company Registration Number (1305569-P)