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.

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

Program

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