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Credit Risk Analytics Masterclass in SAS for Basel and CECL Implementations
New York, USA
Monday, 29 July 2019 and Tuesday, 30 July 2019

Details:

  • Central location in New York: New York University, Kimmel Centre, 60 Washington Square S, level 9, room 909, NY 10012
  • Speakers: Professor Daniel Roesch and Professor Harald Scheule
  • Content: in this course, we will develop hands-on credit risk solutions. All examples will be implemented on site using real credit data. It would be helpful to bring your laptops or tablets to follow. We will provide access to SAS in the cloud and wifi access. Course material will be provided
  • Outcomes:  after this course you will have a good understanding of current challenges in the credit risk industry, merits and pitfalls of various methods, have successfully built your own models from real world credit data
  • Topics you don't want to miss: Forecasting PDs: TTC and PIT | Rating migration probabilities | LGDs: discount rates and selection bias | EADs: conversion factor models | Low default risk segments: PDs and LGDs | Prepayment models for mortgage and corporate loans | Weight of Evidence coding and splines for non-linear risk factors | Validation: stability, discrimination (ROC and CAP) and calibration | Out-of-time/downturn calibration | Loss distributions and correlation estimation | CECL and IFRS 9 models for multi-period risks
  • A confirmation of 12 hours of continuing professional development will be provided on request upon completion of the Masterclass

Day 1 (Monday, 29 July 2019):

Time
Topic
9am
Data Pre-processing and Credit Scoring:
Corporate & retail data
Outlier detection
Standardisation & categorisation
Default definitions & roll rate analysis
Credit scoring techniques
10.30am
Morning tea
11am
Probabilities of default (PD):
Discrete time models (Logit & Probit)
Maximum likelihood estimation
Non-monotone relationships
Calibration & discrimination
Through-the-cycle & point-in-time
12.30pm
Lunch
1.30pm
Low Default Portfolios:
Varying sample windows
Undersampling & oversampling
Mapping to agency ratings
Confidence level (most prudent) approach
Bayesian approach for LDP
MCMC methods
LGD & EAD for LDP
3pm
Afternoon tea
3.30pm
Model validation:
Validation framework
Backtesting PDs
Brier scores & Hosmer-Lemeshow
Binomial tests with correlations
ROC curves, AUROC & accuracy ratio
5pm
End of day

Day 2 (Tuesday, 30 July 2019)

Time
Topic
9am
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
10.30am
Morning tea
11am
Loss Given 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
12.30pm
Lunch
1.30pm
Exposure at default (EAD) and adverse selection:
Conversion measures
Credit lines & flexible repayment schedules
Backtesting LGD and EAD
PD-EAD models & adverse selection
Payoff probabilities
3pm
Afternoon tea
3.30pm
Current expected credit losses (CECL) for US GAAP and IFRS 9:
Loan loss provisioning and Basel capital
12-month expected loss
Lifetime expected loss
Macroeconomic forecasts
Prediction of lifetime expected losses for GAAP 326 and IFRS 9
Significant increase in credit risk (SICR)
Impact on Basel capital
5pm
End of day

Terms and conditions:

·     Both days: $1,750, discounted price: $1,500
·     One day: $1,100, discounted price: $950
·     All lunches and drinks are included
·     All fees are in USD, payable on invoice and fully refundable prior to event
·     Discounts available for additional participants of the same firm
·     Organizer: The RISConsulting Group, LLC.

Registration: