agenda

agenda

Advanced Credit Risk Modelling | Agenda

Agenda timing is in HKT/SGT

08:4509:00

Registration

10:00 - 11:00

09:0010:00

The role of Modelling in Credit Analysis

10:00 - 11:00

  • Introduction
  • Where are models used? 
  • The issues relating to the current crisis and models 
  • Models and Basel 2
  • Models and IFRS 9
  • Models and pricing

10:0011:00

Model Governance

10:00 - 11:00

  • Regulatory expectations
  • Model governance issues
  • Skills and expertise
  • Reporting obligations
  • Models under the current crisis

11:0012:00

Break

10:00 - 11:00

12:0013:00

Retail Credit Models

10:00 - 11:00

  • Credit scoring and the use of external information
  • Creation of risk pools
  • Developing scoring models
  • Human intervention
  • Historic data issues
  • Pricing policy and risk grading
  • Model validation
  • Back testing

13:0014:00

Corporate Credit Models

10:00 - 11:00

  • The role of models in corporate credit analysis
  • The use of external ratings
  • The creation of internal ratings
  • The problems of corporate data and the impact of international accounting standards
  • Building the corporate model
  • Data relevance and scaling
  • Back testing
  • Building and validating the model

14:0014:00

End of Day 1

10:00 - 11:00

09:0010:00

Regulatory Modelling Requirements

10:00 - 11:00

  • The implications of the Basel Accord for credit modelling
  • Insight into the latest tools and techniques to measure, manage and monitor credit risk 
  • Maintaining data across the credit cycle
  • The impact of economic modelling on credit risk
  • Dealing with loss given default 
  • Dealing with exposure at default
  • Modelling likelihood of default
  • Modelling IFRS9 issues

10:0011:00

Validating the Model

10:00 - 11:00

  • The techniques of model validation
  • What model validation is not
  • Regulatory expectations
  • The pre-use validation
  • The post use validation
  • Governance of validation 
  • Validation under the current crisis

11:0012:00

Break

10:00 - 11:00

12:0013:00

Modelling Uncertainty

10:00 - 11:00

  • Modelling credit risk sensitivity analysis
  • Modelling credit risk stress testing
  • Modelling credit risk scenario analysis

13:0014:00

Modelling the Future

10:00 - 11:00

  • Potential future exposure (PFE)
  • Dynamic vs static credit exposures
  • Simulation techniques
  • The importance of distributions and standards deviations
  • Z scores
  • Model based simulation
  • Other modelling techniques

14:0014:00

End of course

10:00 - 11:00