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State of the Art in Credit Risk Modeling

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Credit risk modeling is undoubtedly among the most crucial and actual issues in the field of financial risk management. In this 1 hour webinar, prof. dr. Bart Baesens elaborates on some key issues and challenges that arise when building credit risk models.

Agenda

The webinar/presentation will start by outlining a three level credit risk model architecture: level 0 (data), level 1 (model) and level 2 (ratings and calibration). 

From there onwards, the following topics will be addressed:

  • Data quality 
  • PD/LGD/EAD performance benchmarks 
  • Model requirements 
  • Model discrimination versus calibration 
  • Model validation

Bart extensively comments on both his industry and research experience and clarifies the various concepts with real-life examples. The presentation ends with a demonstration of an E-learning course which Bart recently developed together with SAS.

Meet the presenter

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Bart Baesens

Professor Bart Baesens is a professor at KU Leuven (Belgium), and a lecturer at the University of Southampton (United Kingdom). He has done extensive research on big data & analytics, customer relationship management, web analytics, fraud detection, and credit risk management. His findings have been published in well-known international journals and presented at international top conferences. He is also author of the books Credit Risk Management: Basic Concepts, published by Oxford University Press in 2008; and Analytics in a Big Data World, published by Wiley in 2014. He also regularly tutors, advises and provides consulting support to international firms with respect to their analytics and credit risk management strategy.

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