Sn
| Topics
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| Basic Understanding
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01
| Understanding Loan Lifecycle
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02
| Scorecards vs Basel vs IFRS9 vs CCAR models
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03
| Excel hands - on – Data Preparation for Model development
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| Scorecards
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01
| Application Scorecard vs Behavioural Scorecard
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02
| Understanding Bad definition
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03
| Excel hands-on - Roll Rate Analysis (to incorporate bad flag) on Fannie Mae Mortgage data
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04
| Understanding concepts of Snapshot, Observation Period & Performance Period
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05
| Excel hands-on - Seasoning analysis to identify Performance Window
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06
| Thinking beyond Statistics - Policy rules, Overrides, Reject Inferencing
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07
| Excel hands - on – Building Application Scorecards using Logistic Regression
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08
| Python hands - on – Building Application Scorecards using Logistic Regression
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09
| Excel hands - on – Building Behavioural Scorecards using Logistic Regression
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10
| Python hands - on - Building Behavioural Scorecards using Logistic Regression
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| Loss Modelling
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01
| Excel hands - on - Modelling Losses through Vintage analysis
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02
| Excel hands - on – Modelling Losses using Flow Rate Approach
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| Modelling Probability of Default
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01
| Excel hands-on -Calculating PD using Logistic Regression
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02
| Calculating PD using Machine Learning Techniques
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03
| PD segmentation using Decision trees
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| Modelling Loss given Default
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01
| Calculating workout LGD (Excel)
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02
| Tobit & Beta Regression for LGD Modelling (Excel)
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03
| Fractional Logistic Regression for LGD Modelling (Excel)
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04
| Incomplete workout approach (Excel)
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| Modelling Exposure at Default
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01
| Modelling EAD using CCF (Excel)
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02
| CCF calculation using Fixed & Variable Horizon, Cohort approach (Excel)
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03
| CCF Regression (Excel)
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| Cure Modelling
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01
| Instant Cure vs Probationary Cure (Model design)
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02
| Loss given Cure modelling
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| Basel Capital Charge
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01
| RWA & Capital Adequacy Ratio calculations (Excel)
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02
| Using Vasicek formula to convert TTC PD to Worst Case PD
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03
| Calculating Capital as per Basel IRB Approach (Excel)
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| IFRS 9 Introduction
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01
| TTC PD in Basel vs PIT PD in IFRS
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02
| 12 months PD calculation vs lifetime PD calculation
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03
| Understanding Concepts of Staging – Stage 1| Stage 2 | Stage 3
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| IFRS 9 PD Calculation
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|
01
| Understanding Conditional PD Vs Unconditional PD
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02
| Excel hands-on – Converting TTC PD to PIT PD using Z score
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03
| Excel hands-on – Converting TTC PD to PIT PD using Log Odds shift
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04
| Excel hands-on – Converting TTC PD to PIT PD using Scalar approach
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05
| Calibration & Smoothening techniques (Excel)
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| CECL techniques
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01
| Discrete Time Hazard Models (Excel)
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02
| Snapshot/Open Pool Method
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03
| WARM Model (Excel)
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04
| Vintage analysis (Excel)
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| Actuarial Credit Risk Models
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|
01
| Survival analysis (Excel)
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02
| Lee Carter Model (Excel)
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03
| Age Period Cohort Analysis (Excel)
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| APC Extensions
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01
| Validating APC - Alternating Vintage Diagrams, Moran's D (Excel)
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02
| Bayesian APC (Excel)
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03
| Quantifying Adverse Selection by Vintage (Excel)
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04
| Adverse Selection through Fixed and Random effects (Excel)
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| IFRS 9 LGD & EAD Calculation
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01
| PIT forward looking term structure of LGD as a function of Collateral value (Excel)
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02
| PIT forward looking term structure of LGD using Regression (Excel)
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03
| Calculating PIT LGD using Jacob Frye model (Excel)
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04
| CCF Term structure using Regression (Excel)
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| IFRS 9 Wholesale Models
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|
01
| Understanding Transition Matrices
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02
| Building Transition Matrix using Cohort Approach (Excel)
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03
| Building Transition Matrix using Duration Approach (Excel)
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04
| Converting TTC Transition Matrix to PIT Transition matrix (Excel)
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05
| Validating Transition Matrices (Excel)
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06
| Python hands - on - End to end project on Wholesale Portfolio
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| Low Default Portfolios
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01
| Bayesian approach to handle LDP (Excel)
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02
| Pluto Tasche Approach (Excel)
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03
| Van Der Burgt Method (Excel)
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04
| QMM Method (Excel)
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| Stress Testing
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01
| Top Down vs Bottom Up stress Testing (Excel)
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02
| ICAAP
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03
| Understandings CCAR vs DFAST requirements
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04
| PPNR Modelling
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05
| Excel hands -on – Modelling ARIMA & ARIMAX
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06
| Excel hands -on – Building CCAR & PPNR model using multiple regression & time series models
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06
| Excel hands – on – Perform 9 quarter In Sample & Out of Sample Backtesting
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07
| Python hands - on - Building Stress Testing Model using Regression and Time Series
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08
| Backtesting & Benchmarking
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| Model Validation
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|
01
| Evaluating Discriminatory Power Of Model (Excel)
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02
| Evaluating Accuracy of Model and Calibration (Excel)
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03
| Performing Stability analysis (Excel)
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04
| Margin of Conservatism (Excel)
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05
| Validating Wholesale Models (Excel)
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06
| Validating Stress Testing Models (Excel)
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| Pricing Loans
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|
01
| Optimizing Yields using Solver (Excel)
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02
| RAROC based pricing (Excel)
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| Corporate Credit Models
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|
01
| Merton & KMV Models (Excel)
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02
| Credit Plus Models (Excel)
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03
| Credit Portfolio View (Excel)
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04
| Credit Metrics Model (Excel)
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| Advanced Econometrics Example
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|
01
| Bayesian Regression Models (Excel)
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02
| Kalman Regression Models (Excel)
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03
| Generalized Additive Models (Excel)
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