Advanced Credit Risk Modeling for Basel III Using SAS

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  • ID akce:
    1928988

Popis kurzu na míru Advanced Credit Risk Modeling for Basel III Using SAS

Course Info


This course is planned as a business course for senior risk modellers who are working in the field for several years.


Content


Introduction

  • Regulatory needs
  • The journey towards Basel III
  • Basel II requirements for Credit Risk Modeling

PD modeling

  • Application PD and Behavioral PD
  • Common used variables
  • Data mining approach in credit scoring
  • Examples

LGD modeling

  • Key issues and topics
  • Standard approaches
  • New methodologies
  • Examples
  • Use of LGD models to support collection and recovery models

EAD modeling

  • Key issues and topics
  • Standard approaches

Model Validation


Inclusion of credit scoring models in the credit approval process

  • Credit policies and strategies
  • Decision framework