Advanced Credit Risk Modelling for Basel II using SAS®

Duration

3 days

Description

Aimed at those who are involved in building scoring systems (e.g. for Basel II) and/or responsible for monitoring their behaviour and performance, this advanced course starts with a review of PD modelling. It then provides an overview of issues that arise when modelling loss given default (LGD) and exposure at default (EAD). It will also elaborate on how to do validation, back testing, benchmarking and stress testing; and then discuss how survival analysis may be used to do profit scoring and risk-based pricing. The course aims to provide a sound mix of both theoretical and technical insights, as well as practical implementation details, illustrated by several real-life cases.

Prerequisite Skills

Before attending this course, you will need to:

• know the basic implications of the Basel II Capital Accord
• know the difference between Application Scoring/Behavioural Scoring/Profit Scoring
• understand pre-processing for credit scoring (weights of evidence, outliers, missing values, coarse classification)
• know how to develop scorecards using logistic regression
• be able to set cut-offs; dealing with reject inference
• be able to measure scorecard performance.

Course Topics

A Review of Basel II and PD Modelling

Modelling LGD and EAD

Validating PD, LGD and EAD Models

Stress Testing

Low Default Portfolios

Survival Analysis

Booking

Please contact the Education Team at SAS for the latest information on all SAS courses or to put your name on our specialised course waiting list.