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

No content

No content

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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