Credit Risk Modeling (e-learning)

Business Knowledge Series course

Presented by Bart Baesens, Ph.D. Professor at the School of Management of the University of Southampton (UK); or Christophe Mues, Ph.D., Professor at the School of Management of the University of Southampton (UK); or Cristian Bravo, Ph.D, Assistant Professor, Business Analytics, University of Southampton (UK); or Wouter Verbeke, Ph.D., Assistant Professor, Business Informatics, University of Brussels (Belgium); or Stefan Lessmann, Ph.D., Professor, School of Business and Economics, Humboldt University (Germany)

In this course, students learn how to develop credit risk models in the context of the Basel guidelines. The course provides a sound mix of both theoretical and technical insights, as well as practical implementation details. These are illustrated by several real-life case studies and exercises.

Learn how to

• develop probability of default (PD), loss given default (LGD), and exposure at default (EAD) models
• validate, backtest, and benchmark credit risk models
• stress test credit risk models
• develop credit risk models for low default portfolios
• use new and advanced techniques for improved credit risk modeling.

Who should attend Anyone who is involved in building credit risk models or is responsible for monitoring the behavior and performance of credit risk models