IFRS 9 Credit Risk Modelling And Validation

The course will provide attendees a comprehensive knowledge of IFRS9 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 open-source 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.