Introduction to credit scoring
This workshop has already taken place. The program of a new workshop on this topic can be found here .
This introductory workshop provides a full overview of all credit scoring related concepts, from model development to validation and stress testing, and is ideal for newly hired credit risk personnel or anyone who would like to learn more about credit risk management.
This workshop has already taken place. The program of a new workshop on this topic can be found here .
This introductory workshop provides a full overview of all credit scoring related concepts, from model development to validation and stress testing, and is ideal for newly hired credit risk personnel or anyone who would like to learn more about credit risk management.
| Date: | 2 July 2009 |
| Location: |
Restaurant Arenberg   |
| Rotspoelstraat 5 | |
| 3001 Heverlee | |
| Registration fee: |
Including lunch and VAT |
| 900 Euro for early registration (before June 1st) | |
| 1.200 Euro for late registration | |
| 400 Euro academic fee (for full-time students and academics) | |
| Register here | |
| Transfer of registration fee to a colleague is always possible. | |
| Full reimbursement of registration fee until June 1st. |
| Introduction to credit scoring | |
| dr. ir. David Martens | |
| Lecturer and Risk Management Consultant | |
| MarFintel, Hogeschool Gent, K.U.Leuven | |
| prof. dr. Bart Baesens | |
| Professor Risk Management | |
| K.U.Leuven, University of Southampton |
| 08.30 - 09.00
|
Registration
|
| 09.00 - 10.30 | Introduction to Basel II credit risk |
| - Credit risk and credit scoring | |
| - Data preparation
|
|
| 10.30 - 10.45
|
Break
|
| 10.45 - 12.15 | PD Model estimation |
| - Logistic regression, decision trees | |
| - Case study with neural networks | |
| - Performance metrics: ROC, CAP curve | |
| PD Model calibration
|
|
| 12.15 - 13.30
|
Lunch
|
| 13.30 - 15.00 | LGD and CCF |
| - Defining & measuring LGD, CCF | |
| - Modeling LGD, CCF | |
| Validation | |
| - Quantitative: backtesting & benchmarking | |
| - Qualitative
|
|
| 15.00 - 15.15
|
Break
|
| 15.15 - 16.45 | Stress testing |
| - Univariate | |
| - Multivariate historical, scenario-based | |
|
|
Survival analysis
|
| 16.45 - 17.00 | Conclusion |