BOOTCAMP Credit Risk Modelling Platinum
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| Platinum Package = Gold Package + Live Masterclasses & Python Modelling | |
| Live Masterclasses 1 | |
| Integrated Credit Risk (15 hours) | |
| 01 | Application Scorecard and accept/reject decision |
| 02 | Credit Scorecards using WOE binning and rating assignment based on Master Rating Scale |
| 03 | Understanding of RWA and Capital calculation under Internal Rating Based approach |
| 04 | Computation of PD using Vasicek formula |
| 05 | Computation of LGD using Chain Ladder Method |
| 06 | Computation of Point in time PD and Point in time LGD using Z score and Jacob Frye |
| 07 | Computation of 1 year and lifetime expected credit losses |
| 08 | Computation of Stressed Losses under ICAAP |
| 09 | Loan Pricing using RAROC concepts |
| Live Masterclass 2 | |
| Expected Credit Loss under IFRS 9 and stress testing (15 hours) | |
| 01 | Snapshot & Performance Window creation |
| 02 | Preparing Macro Economic Variables |
| 03 | Building TTC Logistic Regression Model |
| 04 | Building PIT Logistic Regression Model |
| 05 | Validating Discriminatory Power for each Snapshot |
| 06 | Performing Backtesting/Bias/Error analysis over different performance periods. |
| 07 | Building Stress testing model and Validating the results |
| 07 | Benchmarking model results with Z score and other calibration techniques |
| Live Masterclass 3 | |
| Credit Abhyaas (15 hours) | |
| 01 | Validating Scorecards |
| 02 | Validating IRB PD/IRB LGD/IRB EAD models |
| 03 | Valifating Staging and SICR criteria |
| 04 | Validating ECL models |
| 05 | Validating Stress Testing models |
| 06 | Validating Low default portfolios |
| 07 | Qualitative validation |
| 08 | SR 11-7 principles |
| 02 | 12 months PD calculation vs lifetime PD calculation |
| 03 | Understanding Concepts of Staging – Stage 1| Stage 2 | Stage 3 |
| Python Modelling hand-on (50 hours) | |
| 01 | Data Preparation techniques |
| 02 | Linear Regression |
| 03 | Time Series |
| 04 | Logistic Regression |
| 05 | General linear models |
| 06 | Behavioural Scorecard PD |
| 07 | LGD Models |
| 08 | EAD Models |
| 09 | Validation of PD model |
| 10 | Validation of LGD and EAD models |
| 11 | Building IFRS 9 ECL model |
| 12 | Building Stress Testing Models |
| 13 | Building IFRS 9 models for Wholesale using Transition Matrices |
| 14 | Building Application Scorecard |
ABOUT THE TRAINER
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| Platinum Package = Gold Package + Live Masterclasses & Python Modelling | |
| Live Masterclasses 1 | |
| Integrated Credit Risk (15 hours) | |
| 01 | Application Scorecard and accept/reject decision |
| 02 | Credit Scorecards using WOE binning and rating assignment based on Master Rating Scale |
| 03 | Understanding of RWA and Capital calculation under Internal Rating Based approach |
| 04 | Computation of PD using Vasicek formula |
| 05 | Computation of LGD using Chain Ladder Method |
| 06 | Computation of Point in time PD and Point in time LGD using Z score and Jacob Frye |
| 07 | Computation of 1 year and lifetime expected credit losses |
| 08 | Computation of Stressed Losses under ICAAP |
| 09 | Loan Pricing using RAROC concepts |
| Live Masterclass 2 | |
| Expected Credit Loss under IFRS 9 and stress testing (15 hours) | |
| 01 | Snapshot & Performance Window creation |
| 02 | Preparing Macro Economic Variables |
| 03 | Building TTC Logistic Regression Model |
| 04 | Building PIT Logistic Regression Model |
| 05 | Validating Discriminatory Power for each Snapshot |
| 06 | Performing Backtesting/Bias/Error analysis over different performance periods. |
| 07 | Building Stress testing model and Validating the results |
| 07 | Benchmarking model results with Z score and other calibration techniques |
| Live Masterclass 3 | |
| Credit Abhyaas (15 hours) | |
| 01 | Validating Scorecards |
| 02 | Validating IRB PD/IRB LGD/IRB EAD models |
| 03 | Valifating Staging and SICR criteria |
| 04 | Validating ECL models |
| 05 | Validating Stress Testing models |
| 06 | Validating Low default portfolios |
| 07 | Qualitative validation |
| 08 | SR 11-7 principles |
| 02 | 12 months PD calculation vs lifetime PD calculation |
| 03 | Understanding Concepts of Staging – Stage 1| Stage 2 | Stage 3 |
| Python Modelling hand-on (50 hours) | |
| 01 | Data Preparation techniques |
| 02 | Linear Regression |
| 03 | Time Series |
| 04 | Logistic Regression |
| 05 | General linear models |
| 06 | Behavioural Scorecard PD |
| 07 | LGD Models |
| 08 | EAD Models |
| 09 | Validation of PD model |
| 10 | Validation of LGD and EAD models |
| 11 | Building IFRS 9 ECL model |
| 12 | Building Stress Testing Models |
| 13 | Building IFRS 9 models for Wholesale using Transition Matrices |
| 14 | Building Application Scorecard |
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