Základní info
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
