Credit Risk Modelling

Date: 29 – 30 November 2023
Virtual Instructor-Led Training (VILT).

Key Benefits of Attending
  • UNDERSTAND the differences in regulatory requirements on credit risk modelling
  • IDENTIFY the different modelling philosophies of credit risk parameters (Point-in-Time, Through-the-Cycle and stressed)
  • EXPLORE how credit risk parameters of different nature can be estimated in a single comprehensive framework
  • LEARN how to fulfil the full spectrum of regulatory requirements in a simple framework that can be built and maintained with relatively small effort
  • DISCOVER how the framework works by using real data
  • BUILD stress test models in a fast-changing environment by adapting existing models to reflect current trends like high inflation and energy price shocks