Attend our 150 hours program on Credit Risk modelling using excel and python.
Basic Understanding
01 Understanding Loan Lifecycle
02 Scorecards vs Basel vs IFRS9 vs CCAR models
03 Excel hands - on – Data Preparation for Model development

Scorecards
01 Application Scorecard vs Behavioral Scorecard
02 Understanding Bad definition
03 Excel hands-on - Roll Rate Analysis (to incorporate bad flag) on Fannie Mae Mortgage data
04 Understanding concepts of Snapshot, Observation Period & Performance Period
05 Excel hands-on - Seasoning analysis to identify Performance Window
06 Thinking beyond Statistics - Policy rules, Overrides, Reject Inferencing
07 Excel hands - on – Building Application Scorecards using Logistic Regression
08 Python hands - on – Building Application Scorecards using Logistic Regression
09 Excel hands - on – Building Behavioral Scorecards using Logistic Regression
10 Python hands - on - Building Behavioral Scorecards using Logistic Regression

Loss Modelling
01 Excel hands - on - Modelling Losses through Vintage analysis
02 Excel hands - on – Modelling Losses using Flow Rate Approach

Modelling Probability of Default
01 Excel hands-on -Calculating PD using Logistic Regression
02 Calculating PD using Machine Learning Techniques
03 PD segmentation using Decision trees

Modelling Loss given Default
01 Calculating workout LGD (Excel)
02 Tobit & Beta Regression for LGD Modelling (Excel)
03 Fractional Logistic Regression for LGD Modelling (Excel)
04 Incomplete workout approach (Excel)

Modelling Exposure at Default
01 Modelling EAD using CCF (Excel)
02 CCF calculation using Fixed & Variable Horizon, Cohort approach (Excel)
03 CCF Regression (Excel)

Basel Capital Charge
01 RWA & Capital Adequacy Ratio calculations (Excel)
02 Using Vasicek formula to convert TTC PD to Worst Case PD
03 Calculating Capital as per Basel IRB Approach (Excel)

IFRS 9 Introduction
01 TTC PD in Basel vs PIT PD in IFRS
02 12 months PD calculation vs lifetime PD calculation
03 Understanding Concepts of Staging – Stage 1| Stage 2 | Stage 3

IFRS 9 PD Calculation
01 Understanding Conditional PD Vs Unconditional PD
02 Excel hands-on – Converting TTC PD to PIT PD using Z score
03 Excel hands-on – Converting TTC PD to PIT PD using Log Odds shift
04 Excel hands-on – Converting TTC PD to PIT PD using Scalar approach
05 Calibration & Smoothening techniques (Excel)

CECL techniques
01 Discrete Time Hazard Models (Excel)
02 Snapshot/Open Pool Method
03 WARM Model (Excel)
04 Vintage analysis (Excel)

Actuarial Credit Risk Models
01 Survival analysis (Excel)
02 Lee Carter Model (Excel)
03 Age Period Cohort Analysis (Excel)

IFRS 9 LGD & EAD Calculation
01 PIT forward looking term structure of LGD as a function of Collateral value (Excel)
02 PIT forward looking term structure of LGD using Regression (Excel)
03 Calculating PIT LGD using Jacob Frye model (Excel)
04 CCF Term structure using Regression (Excel)

IFRS 9 Wholesale Models
01 Understanding Transition Matrices
02 Building Transition Matrix using Cohort Approach (Excel)
03 Building Transition Matrix using Duration Approach (Excel)
04 Converting TTC Transition Matrix to PIT Transition matrix (Excel)
05 Validating Transition Matrices (Excel)
06 Python hands - on - End to end project on Wholesale Portfolio

Low Default Portfolios
01 Bayesian approach to handle LDP (Excel)
02 Pluto Tasche Approach (Excel)

Stress Testing
01 Top Down vs Bottom Up stress Testing (Excel)
02 ICAAP
03 Understandings CCAR vs DFAST requirements
04 PPNR Modelling
05 Excel hands -on – Modelling ARIMA & ARIMAX
06 Excel hands -on – Building CCAR & PPNR model using multiple regression & time series models
06 Excel hands – on – Perform 9 quarter In Sample & Out of Sample Backtesting
07 Python hands - on - Building Stress Testing Model using Regression and Time Series
08 Backtesting & Benchmarking

Model Validation
01 Evaluating Discriminatory Power Of Model (Excel)
02 Evaluating Accuracy of Model and Calibration (Excel)
03 Performing Stability analysis (Excel)
04 Margin of Conservatism (Excel)
05 Validating Wholesale Models (Excel)
06 Validating Stress Testing Models (Excel)

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