Credit Risk Modelling - London
Day one will start by looking at a post IFRS implementation world from an accounting perspective and how to monitor and benchmark IFRS 9, communication between different functions and significant deterioration increase in credit risk. The second half of day one will discuss how to deal with ECL volatility and how to adapt IFRS 9 models for stress testing through looking at what we can learn from EBA and PRA exercises.
Day two will start with a session on loss given default and what it looks like in the build up to 2021. The session before lunch will cover what Basel IV means for credit risk modelling and the impact standardised approaches will have. The last two sessions of the course will cover model validation standards and how to utilise data, machine learning and AI for manging credit risk through data management and prediction of default risk.