This workshop will discuss the fundamentals across estimation, implementation, validation and stress testing of PD, LGD and EAD models. It will include both comprehensive overviews of state-of-art industry modeling methodologies, as well as practical insights into credit risk models currently being developed and/or used across the sector. Download the Credit Risk Modelling agenda now.

Attending this unque workshop will enable you to:

Explore practical methods for:
• Constructing Credit Risk Models for Basel II
• Monitoring and Backtesting credit risk models
• Stress Testing Models using Sensitivity and Scenario Analysis

Examine best practice in:
• Calibrating PD, LGD and EAD estimates
• Dealing with Low-Default Portfolios
• Quantitative and Qualitative Model Validation

Gain the skills to:
• Employ State of the Art Modeling Techniques
• Audit, Validate and Monitor PD, LGD and EAD models
• Gauge the Impact of Stress Scenarios on credit

The workshop will provide a sound mix of both theoretical and technical insights as well as practical implementation details, illustrated using several real-life cases. The focus will be on practical guidance and business applications. It will be highly interactive, allowing ample opportunity for delegates to benchmark experiences with industry peers and raise issues of most concern to their organisation, either confidentially or in open session.