Exam ACCA

Credit Risk Modelling

Analytics & Modeling
By Peaks2Tails
5 (6254)

~225 Hours | Hindi-English Mix

Description

SnTopics 
 Basic Understanding
01Understanding Loan Lifecycle
02Scorecards vs Basel vs IFRS9 vs CCAR models
03Excel hands - on – Data Preparation for Model development
  
 Scorecards
01Application Scorecard vs Behavioural Scorecard
02Understanding Bad definition
03Excel hands-on - Roll Rate Analysis (to incorporate bad flag) on Fannie Mae Mortgage data
04Understanding concepts of Snapshot, Observation Period & Performance Period
05Excel hands-on - Seasoning analysis to identify Performance Window
06Thinking beyond Statistics - Policy rules, Overrides, Reject Inferencing
07Excel hands - on – Building Application Scorecards using Logistic Regression
08Excel hands - on – Building Behavioural Scorecards using Logistic Regression
   
 Loss Modelling
01Excel hands - on - Modelling Losses through Vintage analysis
02Excel hands - on – Modelling Losses using Flow Rate Approach
  
 Modelling Probability of Default
01Excel hands-on -Calculating PD using Logistic Regression
02Calculating PD using Machine Learning Techniques
03PD segmentation using Decision trees
  
 Modelling Loss given Default
01Calculating workout LGD (Excel)
02Tobit & Beta Regression for LGD Modelling (Excel)
03Fractional Logistic Regression for LGD Modelling (Excel)
04Incomplete workout approach (Excel)
  
 Modelling Exposure at Default
01Modelling EAD using CCF (Excel)
02CCF calculation using Fixed & Variable Horizon, Cohort approach (Excel)
03CCF Regression (Excel)
   
 Cure Modelling 
01Instant Cure vs Probationary Cure (Model design)
02Loss given Cure modelling 
  
 Basel Capital Charge
01RWA & Capital Adequacy Ratio calculations (Excel)
02Using Vasicek formula to convert TTC PD to Worst Case PD
03Calculating Capital as per Basel IRB Approach (Excel)
  
 IFRS 9 Introduction
01TTC PD in Basel vs PIT PD in IFRS
0212 months PD calculation vs lifetime PD calculation
03Understanding Concepts of Staging – Stage 1| Stage 2 | Stage 3
  
 IFRS 9 PD Calculation
01Understanding Conditional PD Vs Unconditional PD
02Excel hands-on – Converting TTC PD to PIT PD using Z score
03Excel hands-on – Converting TTC PD to PIT PD using Log Odds shift
04Excel hands-on – Converting TTC PD to PIT PD using Scalar approach
05Calibration & Smoothening techniques (Excel)
  
 CECL techniques
01Discrete Time Hazard Models (Excel)
02Snapshot/Open Pool Method
03WARM Model (Excel) 
04Vintage analysis (Excel)
  
 Actuarial Credit Risk Models 
01Survival analysis (Excel)
02Lee Carter Model (Excel)
03Age Period Cohort Analysis (Excel)
  
 APC Extensions
01Validating APC - Alternating Vintage Diagrams, Moran's D (Excel)
02Bayesian APC (Excel)
03Quantifying Adverse Selection by Vintage (Excel)
04Adverse Selection through Fixed and Random effects (Excel)
  
 IFRS 9 LGD & EAD Calculation
01PIT forward looking term structure of LGD as a function of Collateral value (Excel)
02PIT forward looking term structure of LGD using Regression (Excel) 
03Calculating PIT LGD using Jacob Frye model (Excel)
04CCF Term structure using Regression (Excel)
  
 IFRS 9 Wholesale Models 
01Understanding Transition Matrices 
02Building Transition Matrix using Cohort Approach (Excel)
03Building Transition Matrix using Duration Approach (Excel)
04Converting TTC Transition Matrix to PIT Transition matrix (Excel)
05Validating Transition Matrices (Excel)
  
 Low Default Portfolios
01Bayesian approach to handle LDP (Excel)
02Pluto Tasche Approach (Excel)
03Van Der Burgt Method (Excel) 
04QMM Method (Excel)
  
 Stress Testing
01Top Down vs Bottom Up stress Testing (Excel)
02ICAAP 
03Understandings CCAR vs DFAST requirements
04PPNR Modelling 
05Excel hands -on – Modelling ARIMA & ARIMAX
06Excel hands -on – Building CCAR & PPNR model using multiple regression & time series models
06Excel hands – on – Perform 9 quarter In Sample & Out of Sample Backtesting
07Backtesting & Benchmarking 
  
 Model Validation
01Evaluating Discriminatory Power Of Model (Excel)
02Evaluating Accuracy of Model and Calibration (Excel)
03Performing Stability analysis (Excel)
04Margin of Conservatism (Excel)
05Validating Wholesale Models (Excel)
06Validating Stress Testing Models (Excel)
  
 Pricing Loans
01Optimizing Yields using Solver (Excel)
02RAROC based pricing (Excel)
  
 Corporate Credit Models 
01Merton & KMV Models (Excel)
02Credit Plus Models (Excel)
03Credit Portfolio View (Excel)
04Credit Metrics Model (Excel)
  
 Advanced Econometrics Example
01Bayesian Regression Models (Excel)
02Kalman Regression Models (Excel)
03Generalized Additive Models (Excel)

Other Info

  • Duration : ~225 Hours
  • Language : Hindi-English Mix
  • ₹ 40000

    International ₹ 40000

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