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Credit Risk Modelling
23. October - 26. October 2017, Kuala Lumpur

KEY TOPICS

Introduction to scorecard modelling

Matrix analysis in R

LGD analysis over time

Case study on PD lifetime in R

TAKEAWAYS AND SPECIAL FEATURES

  • 2 days of hands-on training with statistical software package R throughout the course

  • Toolkit (codes) to be directly used on a day-to-day basis

  • Accurately build PD, LGD & EAD models

  • Make projections both for stress testing & for expected credit loss forecast (IFRS 9 and CECL)

  • Complimentary copy of the book “Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide in Matlab and R”

  • Limited only to 15 participants

  • Unparalleled exercises using Malaysian macroeconomic variables

  • Up to date course outline to comply with new regulations such as IFRS 9, CECL & stress testing

  • Introduction to R software on day 1 to help people with no prior experience on R

TRAINER

Dr Tiziano Bellini photo
United Kingdom flag United Kingdom

Dr Tiziano Bellini

PhD (Statistics) at Consultant

Worked in risk management and finance across Europe, London and New York for the past 20 years. Experience include EY Financial Advisory Services in London, HSBC headquarter, Prometeia and other gl

Learn more about Dr Tiziano >

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WHO SHOULD ATTEND

BY INDUSTRY

  • Banks & Islamic Banks
  • Investment Banks
  • Asset Management Companies
  • Regulators

BY PROFESSION

  • Credit Risk Management
  • Credit Risk Analysis
  • Credit Risk Modelling
  • Model Validation
  • Portfolio Analysis
  • Portfolio Management
  • Risk Controller
  • Quantitative Analyst
  • Risk Modelling

VENUE

Kuala Lumpur is the capital of Malaysia. Its modern skyline is dominated by the 451m-tall Petronas Twin Towers, a pair of glass-and-steel-clad skyscrapers with Islamic motifs. The towers also offer a public skybridge and observation deck. The city is also home to British colonial-era landmarks such as the Kuala Lumpur Railway Station and the Sultan Abdul Samad Building.