CREDIT RISK ANALYTICS

MEASUREMENT TECHNIQUES,
APPLICATIONS, and EXAMPLES

  CREDIT RISK ANALYTICS
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Workshop on Credit Risk Analytics

Data Pre-processing and Credit Scoring

  • Corporate & retail data
  • Outlier detection
  • Standardisation & categorisation
  • Default definitions & roll rate analysis
  • Credit scoring techniques

Probabilities of default (PD)

  • Discrete time models (Logit & Probit)
  • Maximum likelihood estimation
  • Non-monotone relationships
  • Calibration & discrimination
  • Through-the-cycle & point-in-time

Low default portfolios

  • Varying sample windows
  • Undersampling & oversampling
  • SMOTE analysis
  • Adjusting posterior probabilities
  • Cost sensitive learning
  • Mapping to agency ratings
  • Confidence level approach
  • LGD & EAD for low default portfolios

Probabilities of default (PD)

  • Estimation of rating migration probabilities
  • Fitting & forecasting
  • Formation of rating classes
  • Stress testing
  • Continuous time hazard models

Default correlations and credit portfolio risk

  • Basel asset correlations
  • Empirical correlations
  • Analytical, numerical & simulation based solutions for
  • Value-at-Risk
  • Method of Moments estimation
  • Maximum Likelihood estimation

Loss give default (LGD) and recovery rates

  • Computing observed LGD
  • LGD discount rates
  • LGD modeling
  • Marginal modeling (linear, fractional Logit & beta regressions)
  • PD-LGD models (Tobit, Heckman, Censored beta)
  • Random effect models


Exposure at default (EAD) and adverse selection

  • Conversion measures
  • Credit lines & flexible repayment schedules
  • PD-EAD models & adverse selection
  • Payoff probabilities

Model validation

  • Validation framework
  • Backtesting PDs
  • Brier scores & Hosmer-Lemeshow
  • Binomial tests with correlations
  • ROC curves, AUROC & accuracy ratio
  • Backtesting LGD and EAD

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  • HOME
  • TABLE OF CONTENT
  • DATASETS
  • TRAINING
    • ONLINE
    • ZOOM MASTERCLASS
    • IN HOUSE
  • AUTHORS
  • PAPERS
  • UPDATES
  • CONTACT