Basel II using SAS

Duration

3 days

Description

This course will be taught by Dr. Bart Baesens or Dr. Christophe Mues .

Financial institutions today face an important challenge, to build effective and highperforming credit scoring systems in the context of Basel II. This course will elaborate on all required steps ranging from data preprocessing to model implementation, and illustrate how they can be efficiently automated using the SAS Enterprise Miner. It provides a sound mix of both theoretical and technical insights as well as practical implementation details, illustrated by several real-life cases. Your lecturer, Prof. Dr. Bart Baesens, is assistant professor at the School of Management at the University of Southampton. His research focuses on the use of data mining and machine learning techniques for credit scoring, and customer relationship management (CRM) applications. His findings have been published in various journals and presented at international conferences.

Prerequisite Skills

The course assumes that the participants have a basic background in statistics.

Course Topics

Review of the Basel II Capital Accord

Sampling and Data Pre-processing

Developing PD models for Basel II

Developing LGD and EAD Models

for Basel II

Validating PD, LGD and EAD Models

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.