This one-day course provides a comprehensive introduction to modeling credit risk using MATLAB® and computational finance toolboxes. The course is intended for risk practitioners with prior experience of MATLAB developing credit risk models using common modeling practices and the Basel II/III Advanced Internal Ratings Based approach. High-level course themes include:
|Day 1 of 1|
|Classification of Credit Ratings||
Objective: Create and validate classification models for credit ratings and credit scores based on historical data.
|Reduced Form Models||
Objective: Evaluate and assess market implied risk and the Basel granularity assumptions on a bond portfolio
|Structural Credit Risk Models||
Objective: Calculate capital requirements under Basel for a bond portfolio using the ASRF model and structural models of default probability.
|Historical Credit Migration models||
Objective: Calculate expected loss, value-at-risk and conditional value-at-risk on a portfolio of bonds by incorporating copula correlated transitions events.
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