Agenda

Agenda

Credit Risk Modelling Masterclass - Agenda

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Live virtual course | Below agenda timing is in BST

Respective time in HKT:

Start: 8.30am BST | 3.30pm HKT
Break: 9.30am BST | 4.30pm HKT
End: 10.45am BST | 5.45pm HKT

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08:15 – 08:30

Registration

08:15 - 08:30

08:30 – 09:30

The role of Modelling in Credit Analysis

08:30 - 09:30

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

09:30 – 09:45

Break

09:30 - 09:45

09:45 – 10:45

Model Governance

09:45 - 10:45

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

08:30 – 09:30

Retail Credit Models

08:30 - 09:30

  • Credit scoring and 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

09:30 – 09:45

Break

09:30 - 09:45

09:45 – 10:45

Corporate Credit Models

09:45 - 10:45

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

08:30 – 09:30

Regulatory Modelling Requirements

08:30 - 09:30

  • 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 across the credit cycle
  • The impact of economic modelling on credit risk
  • Dealing with loss given default
  • Dealing exposure at default
  • Modelling likelihood of Default
  • Modelling IFRS9 issues

09:30 – 09:45

Break

09:30 - 09:45

09:45 – 10:45

Validating the Model

09:45 - 10:45

  • The Techniques of model validation
  • What model validation is not?
  • Regulatory expectations
  • The pre use validation.
  • The post use validation
  • Governance of validations
  • Validation under the current crisis

08:30 – 09:30

Modelling Uncertainty

08:30 - 09:30

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

09:30 – 09:45

Break

09:30 - 09:45

09:45 – 10:45

Modelling the Future

09:45 - 10:45

  • The Potential future exposure
  • Dynamic vs Static credit exposure
  • Simulation techniques
  • The importance of distributions and standard deviations
  • Z scores
  • Model based simulation.
  • Other modelling techniques