Credit Risk Modelling under Basel

The workshop will discuss the fundamentals of credit risk modelling under Basel, examining many practical issues that the presenters have come across in their experience of model construction and review. It will include both comprehensive overviews of commonly-used industry modelling methodologies, as well as practical insights into the problems that credit risk modellers typically face.

Attend this highly practical credit risk modelling workshop to:

Explore proven methods for:

• Constructing Basel credit risk models
• Producing long-run through-the-cycle models
• Developing point-in-time PD models
• Building downturn LGD and EAD / CCF models

Examine how to:

• Devise models for retail and corporate portfolios of any size
• Maximise the chance of models meeting regulatory requirements
• Document and communicate the workings of your model

Gain the skills to:

• Avoid common modelling errors
• Ensure that best practice methods are used
• Validate models of all types