| Sn | Topics | |
| Basic Understanding | ||
| 01 | Understanding Loan Lifecycle | |
| 02 | Scorecards vs Basel vs IFRS9 vs CCAR models | |
| 03 | Excel hands - on – Data Preparation for Model development | |
| Scorecards | ||
| 01 | Application Scorecard vs Behavioural Scorecard | |
| 02 | Understanding Bad definition | |
| 03 | Excel hands-on - Roll Rate Analysis (to incorporate bad flag) on Fannie Mae Mortgage data | |
| 04 | Understanding concepts of Snapshot, Observation Period & Performance Period | |
| 05 | Excel hands-on - Seasoning analysis to identify Performance Window | |
| 06 | Thinking beyond Statistics - Policy rules, Overrides, Reject Inferencing | |
| 07 | Excel hands - on – Building Application Scorecards using Logistic Regression | |
| 08 | Excel hands - on – Building Behavioural Scorecards using Logistic Regression | |
| Loss Modelling | ||
| 01 | Excel hands - on - Modelling Losses through Vintage analysis | |
| 02 | Excel hands - on – Modelling Losses using Flow Rate Approach | |
| Modelling Probability of Default | ||
| 01 | Excel hands-on -Calculating PD using Logistic Regression | |
| 02 | Calculating PD using Machine Learning Techniques | |
| 03 | PD segmentation using Decision trees | |
| Modelling Loss given Default | ||
| 01 | Calculating workout LGD (Excel) | |
| 02 | Tobit & Beta Regression for LGD Modelling (Excel) | |
| 03 | Fractional Logistic Regression for LGD Modelling (Excel) | |
| 04 | Incomplete workout approach (Excel) | |
| Modelling Exposure at Default | ||
| 01 | Modelling EAD using CCF (Excel) | |
| 02 | CCF calculation using Fixed & Variable Horizon, Cohort approach (Excel) | |
| 03 | CCF Regression (Excel) | |
| Cure Modelling | ||
| 01 | Instant Cure vs Probationary Cure (Model design) | |
| 02 | Loss given Cure modelling | |
| Basel Capital Charge | ||
| 01 | RWA & Capital Adequacy Ratio calculations (Excel) | |
| 02 | Using Vasicek formula to convert TTC PD to Worst Case PD | |
| 03 | Calculating Capital as per Basel IRB Approach (Excel) | |
| IFRS 9 Introduction | ||
| 01 | TTC PD in Basel vs PIT PD in IFRS | |
| 02 | 12 months PD calculation vs lifetime PD calculation | |
| 03 | Understanding Concepts of Staging – Stage 1| Stage 2 | Stage 3 | |
| IFRS 9 PD Calculation | ||
| 01 | Understanding Conditional PD Vs Unconditional PD | |
| 02 | Excel hands-on – Converting TTC PD to PIT PD using Z score | |
| 03 | Excel hands-on – Converting TTC PD to PIT PD using Log Odds shift | |
| 04 | Excel hands-on – Converting TTC PD to PIT PD using Scalar approach | |
| 05 | Calibration & Smoothening techniques (Excel) | |
| CECL techniques | ||
| 01 | Discrete Time Hazard Models (Excel) | |
| 02 | Snapshot/Open Pool Method | |
| 03 | WARM Model (Excel) | |
| 04 | Vintage analysis (Excel) | |
| Actuarial Credit Risk Models | ||
| 01 | Survival analysis (Excel) | |
| 02 | Lee Carter Model (Excel) | |
| 03 | Age Period Cohort Analysis (Excel) | |
| APC Extensions | ||
| 01 | Validating APC - Alternating Vintage Diagrams, Moran's D (Excel) | |
| 02 | Bayesian APC (Excel) | |
| 03 | Quantifying Adverse Selection by Vintage (Excel) | |
| 04 | Adverse Selection through Fixed and Random effects (Excel) | |
| IFRS 9 LGD & EAD Calculation | ||
| 01 | PIT forward looking term structure of LGD as a function of Collateral value (Excel) | |
| 02 | PIT forward looking term structure of LGD using Regression (Excel) | |
| 03 | Calculating PIT LGD using Jacob Frye model (Excel) | |
| 04 | CCF Term structure using Regression (Excel) | |
| IFRS 9 Wholesale Models | ||
| 01 | Understanding Transition Matrices | |
| 02 | Building Transition Matrix using Cohort Approach (Excel) | |
| 03 | Building Transition Matrix using Duration Approach (Excel) | |
| 04 | Converting TTC Transition Matrix to PIT Transition matrix (Excel) | |
| 05 | Validating Transition Matrices (Excel) | |
| Low Default Portfolios | ||
| 01 | Bayesian approach to handle LDP (Excel) | |
| 02 | Pluto Tasche Approach (Excel) | |
| 03 | Van Der Burgt Method (Excel) | |
| 04 | QMM Method (Excel) | |
| Stress Testing | ||
| 01 | Top Down vs Bottom Up stress Testing (Excel) | |
| 02 | ICAAP | |
| 03 | Understandings CCAR vs DFAST requirements | |
| 04 | PPNR Modelling | |
| 05 | Excel hands -on – Modelling ARIMA & ARIMAX | |
| 06 | Excel hands -on – Building CCAR & PPNR model using multiple regression & time series models | |
| 06 | Excel hands – on – Perform 9 quarter In Sample & Out of Sample Backtesting | |
| 07 | Backtesting & Benchmarking | |
| Model Validation | ||
| 01 | Evaluating Discriminatory Power Of Model (Excel) | |
| 02 | Evaluating Accuracy of Model and Calibration (Excel) | |
| 03 | Performing Stability analysis (Excel) | |
| 04 | Margin of Conservatism (Excel) | |
| 05 | Validating Wholesale Models (Excel) | |
| 06 | Validating Stress Testing Models (Excel) | |
| Pricing Loans | ||
| 01 | Optimizing Yields using Solver (Excel) | |
| 02 | RAROC based pricing (Excel) | |
| Corporate Credit Models | ||
| 01 | Merton & KMV Models (Excel) | |
| 02 | Credit Plus Models (Excel) | |
| 03 | Credit Portfolio View (Excel) | |
| 04 | Credit Metrics Model (Excel) | |
| Advanced Econometrics Example | ||
| 01 | Bayesian Regression Models (Excel) | |
| 02 | Kalman Regression Models (Excel) | |
| 03 | Generalized Additive Models (Excel) INDDAY10 |
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