Validation of credit risk models
This workshop has already taken place.
This workshop has already taken place.
| Date: | 3 December 2009 |
| Location: |
Restaurant Arenberg  |
| Rotspoelstraat 5 | |
| 3001 Heverlee | |
| Registration fee: |
Including lunch and VAT |
| 450 Euro for early registration (before November 20th) | |
| 550 Euro for late registration | |
| 200 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 November 20th. |
| Speakers
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| Invited speaker: | |
| dr. Coleet Vynckier | |
| Banking, Finance and Insurance Commission (CBFA) | |
| Invited talk on a regulatory perspective on validation
|
|
| prof. dr. Bart Baesens | |
| Professor Risk Management | |
| K.U.Leuven, University of Southampton | |
| dr. ir. David Martens | |
| Lecturer and Risk Management Consultant | |
| MarFintel, Hogeschool Gent, K.U.Leuven |
| 13.30 - 14.00 | Registration |
| 14.00 - 14.30 | A bird's eye view on validation |
| 14.30 - 15.30 | Quantitative validation: backtesting & benchmarking PD, LGD (EAD) models |
| 15.30 - 16.00
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Break
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| 16.00 - 17.00 | A regulatory perspective on validation |
| 16.45 - 17.30 | Qualitative validation: use testing, data quality, model design and corporate governance |
| 17.30 - 18.00 | Conclusion and discussion |
| 19.00 - 21.00 | Networking drink and closing diner |