Introduction to credit scoring
This two day 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 two day 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: | 1st & 2nd July 2010 |
| Location: |
Restaurant Arenberg  |
| Rotspoelstraat 5 | |
| 3001 Heverlee | |
| 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
|
||
| Introduction to Basel II credit ris | ||
| - Credit risk and credit scoring | ||
| - Data preparation
|
||
| PD Model estimation | ||
| - Logistic regression, decision trees | ||
| - Case study with neural networks | ||
| - Performance metrics: ROC, CAP curve
|
||
| PD Model calibration
|
||
| LGD and CCF | ||
| - Defining & measuring LGD, CCF | ||
| - Modeling LGD, CCF
|
||
| Validation | ||
| - Quantitative: backtesting & benchmarking | ||
| - Qualitative
|
||
| Stress testing | ||
| - Univariate | ||
| - Multivariate historical, scenario-based
|
||
| Survival analysis
|
||
| Demos from industry specific solution providers | ||